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Dissertations / Theses on the topic 'Econometrics for finance'
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Vasios, Michail. "Essays in empirical finance and econometrics." Thesis, University of Warwick, 2013. http://wrap.warwick.ac.uk/62057/.
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This thesis consists of three essays and aims to deepen our understanding of agent's actions in financial markets at different aggregation levels and using various data. In the first essay, we analyse the trades of brokers in a non-anonymous market. Specifically, we explore the information context of broker identities and how their disclosure can be exploited by other investors. Using data from the Helsinki Stock Exchange we form dynamic mean-variance strategies with daily rebalancing which condition on the net flow of brokers. We find that investors can benefit from knowing who trades compared to a portfolio that disregards this information. We demonstrate a link between the information content of broker order flow and the sophistication of their clients. In the second essay, we investigate the forecasts of sell-side analysts. We use banking sector news to proxy for the severity of career concerns and examine their impact on analysts' tendency to make bold forecasts. We show that analysts follow the consensus forecast more closely when the prospects of the banking sector are negative. The more established analysts, in terms of reputation and experience, are generally unaffected by banking news. In contrast, their less established peers cluster their forecasts near the consensus after negative news for banks. In the last essay, we are interested in the estimation of the covariation matrix of equity prices in the presence of market microstructure noise and non-synchronous trading. We base our analysis on a simple framework that derives separate pooled OLS regressions from other well-known estimators, whose byproducts are the integrated variance and covariance, and noise components. A comprehensive simulation study shows that our estimator is very precise and out-performs other widely applied estimation techniques. A similar picture emerges when we use historical data. Finally, we document the association of the noise component with liquidity frictions.
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Spear, Scott A. "Essays in finance and time series econometrics /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1997. http://wwwlib.umi.com/cr/ucsd/fullcit?p9804535.
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Kang, Long. "Three essays on financial econometrics and empirical finance." [Bloomington, Ind. ] : Indiana University, 2008. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3344579.
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Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2008.Title from PDF t.p. (viewed on Oct 5, 2009). Source: Dissertation Abstracts International, Volume: 70-02, Section: A, page: 0642. Advisers: Pravin K. Trivedi; Konstantin Tyurin.
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Fernandes, Marcelo. "Essays on the econometrics of continuous-time finance." Doctoral thesis, Universite Libre de Bruxelles, 1998. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211986.
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Westrupp, Victor. "The TED spread as a risk factor in the cross section of stock returns." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-18102012-182219/.
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We provide empirical evidence of the TED spread as a risk factor in the cross-section of stock returns. Portfolios with high sensitivities to the TED spread have high average risk-adjusted returns. The pricing of TED spread risk is especially strong among small caps. TED spread is a usual measure of funding difficulties in interbank markets and our results are consistent with the Margin-CAPM model of Garleanu and Pedersen (2011).Esta dissertação apresenta evidência empírica da TED Spread como um fator de risco na cross-section dos retornos de ações. Portfólios com elevada sensibilidade à TED Spread possuem elevados retornos médios ajustados para outros fatores de risco. O apreçamento do risco de TED Spread é especialmente forte entre small caps. TED Spread é uma medida usual de dificuldades de financiamento em mercados interbancários e o resultado obtido é consistente com o modelo Margin-CAPM de Gârleanu and Pedersen (2011).
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Xu, Jiangmin. "Essays on trading and financial econometrics." Thesis, Princeton University, 2014. http://pqdtopen.proquest.com/#viewpdf?dispub=3627305.
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This dissertation studies trading and investment in financial markets through the lens of financial econometrics. Chapter 1 develops a continuous-time model of the optimal strategies of high-frequency traders (HFTs) to rationalize their pinging activities - defined as rapid submissions and subsequent cancellations of limit orders inside the bid-ask spread. The current worry is that HFTs ping inside the spread to manipulate the market. In contrast, the HFT in my model uses pinging to control inventory or to chase short-term price momentum without any learning or manipulative motives. I use historical message data to reconstruct limit order books, and characterize the HFT's optimal strategies under the viscosity solution to my model. By gauging the model's implications against data, I show that pinging is not necessarily manipulative and is rationalizable as part of the dynamic trading strategies of HFTs.
In Chapter 2, joint with Harrison Hong, we use overdispersed Poisson regression models to study social networks in finance. We count an investor's social connections in different cities as proportional to the number of stocks held by this investor that are headquartered in those cities. When connections are formed in an i.i.d. manner, the count of such connections in any city follows a Poisson distribution. Using data from institutional investors' holdings, we find instead overdispersion for a number of cities like San Jose and San Diego, which suggests that investors have non-i.i.d. propensities to be connected to these cities. Overdispersed cities have a large number of graduates from local universities who work in the fund industry. Managers with relatively high non-i.i.d. propensities to have social contacts significantly outperform other managers.
In Chapter 3, I propose a continuous-time model for the joint stochastic process of asset price and trading volume to study the transmission mechanism from changes in trading volume to price movements at the high-frequency level. A GMM-based estimation procedure is developed based on the model's closed-form moment conditions. I estimate the model on real-world high frequency financial data and find that, jumps in volume have a strong cross-excitation effect on jumps in price. Other implications of the model are also discussed.
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Yen, Yu-Min. "Three essays in financial econometrics." Thesis, London School of Economics and Political Science (University of London), 2012. http://etheses.lse.ac.uk/445/.
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Sparse Weighted Norm Minimum Variance Portfolio. In this paper, I propose a weighted L1 and squared L2 norm penalty in portfolio optimization to improve the portfolio performance as the number of available assets N goes large. I show that under certain conditions, the realized risk of the portfolio obtained from this strategy will asymptotically be less than that of some benchmark portfolios with high probability. An intuitive interpretation for why including a fewer number of assets may be beneficial in the high dimensional situation is built on a constraint between sparsity of the optimal weight vector and the realized risk. The theoretical results also imply that the penalty parameters for the weighted norm penalty can be specified as a function of N and sample size n. An efficient coordinate-wise descent type algorithm is then introduced to solve the penalized weighted norm portfolio optimization problem. I find performances of the weighted norm strategy dominate other benchmarks for the case of Fama-French 100 size and book to market ratio portfolios, but are mixed for the case of individual stocks. Several novel alternative penalties are also proposed, and their performances are shown to be comparable to the weighted norm strategy. Bond Variance Risk Premia (Joint work with Philippe Mueller and Andrea Vedolin). Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains one third of the time variation in funding liquidity and that the spread between the VIX and TIV captures flight to quality. We then construct Treasury bond variance risk premia as the difference between the implied variance and an expected variance estimate using autoregressive models. Bond variance risk premia display pronounced spikes during crisis periods. We show that variance risk premia encompass a broad spectrum of macroeconomic uncertainty. Uncertainty about the nominal and the real side of the economy increase variance risk premia but uncertainty about monetary policy has a strongly negative effect. We document that bond variance risk premia predict excess returns on Treasuries, stocks, corporate bonds and mortgage-backed securities, both in-sample and out-of-sample. Furthermore, this predictability is not subsumed by other standard predictors. Testing Jumps via False Discovery Rate Control. Many recently developed nonparametric jump tests can be viewed as multiple hypothesis testing problems. For such multiple hypothesis tests, it is well known that controlling type I error often unavoidably makes a large proportion of erroneous rejections, and such situation becomes even worse when the jump occurrence is a rare event. To obtain more reliable results, we aim to control the false discovery rate (FDR), an efficient compound error measure for erroneous rejections in multiple testing problems. We perform the test via a nonparametric statistic proposed by Barndorff-Nielsen and Shephard (2006), and control the FDR with a procedure proposed by Benjamini and Hochberg (1995). We provide asymptotical results for the FDR control. From simulations, we examine relevant theoretical results and demonstrate the advantages of controlling FDR. The hybrid approach is then applied to empirical analysis on two benchmark stock indices with high frequency data.
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Brooks, Joshua Andrew. "Three essays on investments and time series econometrics." Thesis, The University of Alabama, 2015. http://pqdtopen.proquest.com/#viewpdf?dispub=3711188.
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This dissertation includes three essays on investments and time series econometrics. This work gives new insight into the behavior of implied marginal tax rates, implied volatility, and option pricing models. The first essay examines the movement of implied marginal tax rates. A body of research points to the existence of implied marginal tax rates that can be extracted from security or derivative prices. We use the LIBOR-based interest rate swap curve and the MSI-based interest rate swap curve to examine changes in the implied tax rate. We document multiple statistically and economically significant structural breaks in the long-run implied marginal tax rate that are not exclusively located in the financial crisis (one as recent as October, 2010). These breaks represent persistent divergence from long run averages and indicate that mean reversion models may not accurately describe the stochastic processes of implied marginal tax rates. In the second essay, I develop an asymmetric time series model of the VIX. I show that the VIX and realized volatility display significant nonlinear effects which I approximate with a smooth-transition autoregressive model. I find that under certain regimes the VIX depends almost exclusively on previous realized volatility. Under other regimes, I find that the VIX depends on both its lags and previous realized volatility. Since the VIX has become a popular hedging instrument, this finding has important implications for risk managers who elect to use the VIX and its related investment vehicles. It also has implications for the use of implied volatility in value-at-risk forecasting. The third essay presents a new model for option pricing model selection. There is a significant performativity issue intrinsic in much of the option pricing literature. Once an option-pricing model (OPM) gains widespread acceptance, volatilities tend to move so that the OPM fits well with observed prices. This often leads to systematic mispricing based purely on model results. A number of systematic issues such as volatility smile are present in OPMs. To remedy this issue, I propose a new method for ranking OPMs based on one step ahead forecasts. This model transforms the data to build a distribution of the stochastic term present in OPM. This sample distribution is then tested for normality so that OPMs can be ranked in a Bayesian-like framework by their closeness to a normal distribution.
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Flury, Thomas. "Econometrics of dynamic non-linear models in macroeconomics and finance." Thesis, University of Oxford, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.523095.
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Wu, Yue. "Bayesian dynamic covariance models with applications to finance and econometrics." Thesis, University of Cambridge, 2014. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.708037.
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Ergun, Ahmet T. "Essays on nonparametric and applied econometrics." Diss., The University of Arizona, 2004. http://hdl.handle.net/10150/290109.
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This dissertation focuses on econometric methodology and its applications in insurance and the stock market. The second chapter proposes a new semiparametric estimator for binary-choice single-index models. The estimator makes use of a "parametric start" idea from the statistics literature and applies it to econometric model estimation. Even though the chapter only focuses on binary-choice models, it is expected that the introduction of this idea to the econometrics literature is going to contribute to semiparametric estimation of econometric models in general, especially when one has (only) a rough initial guess about the shape of the unknown function. Consistency of the estimator is shown and the simulation results indicate that even though the parametric start is not correct in any of the simulation designs, the estimator's performance is very promising in the estimation of coefficients and probabilities. The third chapter successfully applies this proposed estimator along with competing parametric and semiparametric estimators and is expected to expand our understanding of private insurance company involvement in the U.S. crop insurance program. This chapter stands almost alone in the literature as an overwhelming majority of other studies examine the involvement of producers in the program. Although preliminary, the results of this chapter show that the insurance company involvement in this program may be too costly to justify and that the program may not be as efficient in terms of premium rates and rating practices of the federal government. The fourth chapter examines market volatility taking into account the New York Stock Exchange trading collar. The trading collar restricts certain forms of trade in component stocks of the S&P500 stock price index when there is "excess" volatility in the market. This important feature of the market has been ignored in the large volatility modeling literature and it is expected that this chapter contributes to this literature by showing that after some data manipulation it is straightforward to incorporate this feature into standard econometric models. Another contribution of this chapter is the successful use of a polynomial specification to capture the well documented U-shaped pattern of intraday market volatility instead of a computationally more difficult two-step procedure.
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Zhang, Hui Jun. "Essays on causality and volatility in econometrics with financial applications." Thesis, McGill University, 2013. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=116928.
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This thesis makes contributions to the statistical analysis of causality and volatility in econometrics. It consists of five essays, theoretical and empirical. In the first one, we study how to characterize and measure multi-horizon second-order causality. The second and third essays propose linear estimation methods for univariate and multivariate weak GARCH models. In the fourth essay, we use multi-horizon causality measures to study the causal relationships between commodity prices and exchange rates with high-frequency data. In the fifth essay, we evaluate the historical evolution of volatility forecast skill.Given the increasingly important role of volatility forecasting in financial studies, a number of authors have proposed to extend the notion of Granger causality to study the dynamic cobehavior of volatilities. In the first essay, we propose a general theory of second-order causality between random vectors at different horizons, allowing for the presence of auxiliary variables, in terms of the predictability of conditional variance. We establish various properties of the causality structures so defined. Furthermore, we propose nonparametric and parametric measures of second-order causality at a given horizon. We suggest a simulation-based method to evaluate the measures in the context of stationary VAR-MGARCH. The asymptotic validity of bootstrap confidence intervals is demonstrated. Finally, we apply the proposed measures of second-order causality to study volatility spillover and contagion across financial markets in the U.S., the U.K. and Japan, for the period of 2000-2010.It is well known that the quasi-maximum likelihood (QML) estimator is consistent and asymptotically normal for (semi-)strong GARCH models. However, when estimating a weak GARCH model, the QML estimator can be inconsistent due to the misspecification of conditional variance. The nonlinear least squares (NLS) estimation is consistent and asymptotically normal for weak GARCH models, but requires a complicated nonlinear optimization. In the second essay, we suggest a linear estimation method, which is shown to be consistent and asymptotically normal for weak GARCH models. Simulation results for weak GARCH models indicate that, the linear estimation method outperforms both QML and NLS for parameter estimation, and is comparable to the NLS, and better than QML for out-of-sample forecasts.Similar issues show up when QML and NLS are used for weak multivariate GARCH (MGARCH) models. In the third essay, we propose a linear estimation method for weak MGARCH models. The asymptotic properties of this linear estimator are established. Simulations for weak MGARCH models show that our linear estimation method outperforms both QML and NLS for the parameter estimation, and the three methods perform similarly in out-of-sample forecasting experiments. Most importantly, the proposed linear estimation is much less computationally complex than QML and NLS. In the fourth essay, we study the causal relationship between commodity prices and exchange rates. Existing studies using quarterly data and noncausality tests only at horizon 1 do not indicate a clear direction of causality from commodity prices to exchange rates. In contrast, by considering multi-horizon causality measures using the high-frequency data (daily and 5-minute) from three typical commodity economies, we find that causality running from commodity prices to exchange rates is stronger than that in the opposite direction up to multiple horizons, after accounting for ‘dollar effects'.In the fifth essay, we apply the concept of forecast skill to evaluate the historical evolution of volatility forecasting, using the data from S&P 500 composite index over the period of 1983-2009. We find that models of conditional volatility do yield improvements in forecasting, but the historical evolution of volatility forecast skill does not exhibit a clear upward trend.Cette thèse porte sur l'analyse statistique de la causalité et la volatilité en économétrie. Elle consiste en cinq essais, tant théoriques qu'empiriques. Dans le premier, nous étudions comment caractériser et mesurer la causalité de second-ordre sur plusieurs horizons. Le second et le troisième essais proposent les méthodes d'estimation linéaires pour les modèles GARCH univariés et multivariés faibles. Dans le quatrième essai, nous utilisons des mesures de causalité sur plusieurs horizons afin d'étudier la causalité entre les prix des marchandises et les taux de change dans les données à haute fréquence. Dans le cinquième essai, nous évaluons l'évolution historique de l'habileté prévisionnelle de volatilité.Dans le premier essai, nous proposons une théorie plus générale de la causalité de second-ordre entre vecteurs aléatoires à different horizons, en permettant la présence de variables auxiliaires, en termes de prévisibilité de la variance conditionnelle. Nous établissons diverses propriétés des structures de causalité ainsi définies. De plus, nous proposons des mesure non-paramétriques etparamétriques de causalité de second-ordre. Nous utilisons des méthodes basées sur la simulation pour évaluer les mesures dans le contexte des modèles VAR-MGARCH. La validité asymptotique des intervalles de confiance par bootstrap est démontrée. Finalement, nous appliquons les mesures de causalité de second-ordre pour étudier les effets de débordement de volatilité et la contagion sur les marchés financiers aux États-Unis, au Royaume-Uni et au Japon, durant la période 2000-2010.Il est bien connu que l'estimateur du quasi-maximum de vraisemblance (QMVE) est convergent et asymptotiquement normal pour les modèles GARCH forts ou semi-forts. Cependant, lorsqu'on estime un modèle GARCH faible, QMVE peut ne pas converger à cause d'erreurs de spécification sur les deux premiers moments. L'estimation par moindres carrés non linéaires (MCNLE) est convergent pour les modèles GARCH faibles, mais requiert une optimisation non linéaire compliquée. Nous proposons une méthode d'estimation linéaire, que est convergent et asymptotiquement normal pour les modèles GARCH faible. Les résultats des simulations démontrent que la méthode linéaire est supérieure aux QMVE et MCNLE pour l'estimation, est comparable à MCNLE, et supérieure à QMVE pour la prévision hors échantillon.Des problèmes similaires apparaissent lorsque les QMVE et MCNLE sont utilisés pour estimer des modèles GARCH multivariés (MGARCH) faibles. Dans le troisième essai, nous proposons une méthode d'estimation linéaire pour les modèles MGARCH faibles. Les propriétés asymptotiques de cet estimateur linéaire sont établies. Les simulations montrent que les trois méthodes sont équivalentes pour la prévision hors échantillon.Dans le quatrième essai, nous étudions la relation causale entre les prix de marchandises et les taux de change. Les etudes existantes sont basées sur des données trimestrielles et les tests de non causalité à un horizon n'ont pas confirmé les attentes intuitives sur une direction claire de la causalité allant des prix de marchandises vers les taux de change. Au contraire, en considérant les mesures de causalié sur plusieurs horizons et en utisant les données à haute fréquence à partir de trios economies typiques de marchandises, nous trouvons que la causalité allant des prix des marchandises aux taux de change est plus forte que dans la direction opposée jusqu'à plusieurs horizons, après avoir contrôlé ‘dollar effects'.Dans le cinquième essai, nous appliquons le concept d'habileté prévisionnelle pour évaluer l'évolution historique des prévisions de volatilité, sur l'indice S&P 500 sur une période (1983-2009). Nous trouvons que les modèles de volatilité conditionnelle permettent d'améliorer la prévision de la volatilité, mais il n'y a pas de tendance à la hausse dans la qualité des prévisions.
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Choudhury, Jamshed Nadeev Quadir. "The finance-growth nexus and stock market infrastructure in Bangladesh, 1980-2007." Thesis, Kingston University, 2009. http://eprints.kingston.ac.uk/20256/.
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This thesis attempts to investigate, theoretically and empirically, whether financial development (bank development and stock market development) has led to economic growth in Bangladesh, and it explores the important factors behind the evolution of the financial system itself. The literature survey in Chapter 2 argues that finance enhances growth while banks and stock markets are complementary in development; however the application to low-income countries is unclear. After reviewing financial sector policy and institutional background in Bangladesh in Chapter 3, a combination of various theoretical insights into one structural framework is proposed in Chapter 4. Our empirical findings for Bangladesh in Model l using the ARDL cointegration method are as follows. Both banks (quasi-money/GDP) and the stock market (number oflisted companies) have enhanced physical capital accumulation from 1980 to 2005. Using the same cointegration technique, growth in GDP per capita is found to lead to growth in banks (private-credit/GDP ratio). And there is a cointegrating relationship between banks and the stock market which indicates that debt and equity are complementary. The main message from Chapter 6 is that the finance-growth nexus can be shown to operate in the case of Bangladesh where banks are the main providers of finance. The key policy implication of Model l is that overall financial development (banks and stock markets) can lead to economic growth, while feedback effects promote further financial activity. We then identify and assess relationships that operate within the stock market itself. Model 2A begins the analysis of the stock market infrastructure by relating the number of listed shares to the value of traded shares or turnover (market liquidity). Empirical results in Chapter 7 for Bangladesh using the ARDL approach show support for cointegration from 1990Ql to 2005Q4. Model 2B then investigates the relationship between trading activity and price volatility on the stock exchange. Using a GARCH framework and Granger Causality tests, empirical results in Chapter 8 indicate that trading volume and particularly trading value carry predictive power for price volatility with daily data from 1995 to 2007. The overall conclusion in Chapter 9 is that to understand the finance-growth nexus in Bangladesh it is necessary to appreciate the essential role played by banks as well as the forces behind the stock market. The encompassing framework presented here along with its reinforcing and constrained features points to a growth-promoting and sustainable fmancial structure for central bank regulators to target.
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Bergamelli, Michele. "Structural breaks and outliers detection in time-series econometrics : methods and applications." Thesis, City University London, 2015. http://openaccess.city.ac.uk/14868/.
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This thesis contributes to the econometric literature on structural breaks analysis and outliers detection in parametric linear models. The focus is on the development of new econometric tools as well as on the analysis of novel but largely unexplored approaches. The econometric methods under analysis are illustrated using macroeconomic and financial relationships. The thesis is organised in three main chapters. In Chapter 2, we consider two novel methods to detect multiple structural breaks affecting the deterministic component of a linear system. The first is an extension of the dummy saturation method whereas the second method deals with a sequential bootstrapping procedure based on the sup-F statistic. Through an extensive Monte Carlo exercise, we explore the ability of the two approaches to detect the correct number and the correct location of the breaks. Additionally, we illustrate how to apply empirically the two procedures by investigating the stability of the Fisher relationship in the United States. In Chapter 3, we consider testing for multiple structural breaks in the vector error correction framework. First, we study the role of weak exogeneity when testing for structural breaks in the cointegrating matrix. Second, we extend the existing likelihood ratio test of Hansen (2003) to the case of unknown break dates through the specification of a minimum p-value statistic with critical values approximated by bootstrapping. Monte Carlo simulations show that the proposed statistic has good finite sample properties whilst three small empirical applications illustrate how the minimum p-value statistic can be used in practice. In Chapter 4, we tackle the purchasing power parity puzzle developing a robust estimator for the half-life of the real exchange rate. Specifically, we propose to identify outlying observations by means of a dummy saturation type algorithm designed for ARMA processes which enables to detect additional and innovative outliers as well as level shifts. An empirical application involving US dollar real exchange rates shows that the estimated half-lives are considerably shorter when outlying observations are correctly modelled, therefore shedding some light on the purchasing power parity puzzle.
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Xu, Yongdeng. "Econometrics of high frequency data and nonnegative valued financial point processes." Thesis, Cardiff University, 2013. http://orca.cf.ac.uk/45954/.
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Econometrics of high frequency data and nonnegative valued financial point process is addressed in an Autoregressive Conditional Duration (ACD) and Multiplicative Error Model (MEM). The basic idea is to model the nonnegative valued point process in terms of the product of a scale factor and an innovation process with nonnegative support. However, when extending such a model into a multivariate setting, the direct use of multivariate MEM model is restricted since conditional distributions for multivariate nonnegative valued random variables are often not available. A common strategy is to reduce the multivariate setting to a series of univariate problems by assuming: a) weak exogeneity. b) the independence of innovation terms. The objects of this thesis are to examine this strategy and develop a general form vector MEM. Three main Chapters have been developed. We begin with the analysis of weak exogeneity. The independence of innovation terms is considered as a special case of weak exogeneity. The simulation study indicates that a failure of the weak exogeneity assumption implies not only inefficient but also biased estimate of the parameters. We then derive an LM test for weak exogeneity and the empirical results indicate that the weak exogneity of duration is often rejected. Chapter 3 discusses the use of lognormal distribution for financial durations and we propose a lognormal ACD model. The empirical results show that lognormal ACD model is superior to Exponential and Weibull ACD model. It performs similarly to Burr or generalized gamma ACD model. In Chapter 4, we release weak exogeneity assumption and propose general form of vector MEM. Based on the results in Chapter 3, we further propose to use the multivariate lognormal distribution for the distribution of the vector MEM for which maximum likelihood is proved as a suitable estimation strategy. The model is then applied to the trade and quotes data from the New York Stock Exchange (NYSE) for the dynamics of trading duration, volume and price volatility. The empirical findings are generally consistent with market microstructure predictions.
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Patton, Andrew John. "Applications of copula theory in financial econometrics /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2002. http://wwwlib.umi.com/cr/ucsd/fullcit?p3049666.
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Costa, Sérgio Gesteira. "Regulação, risco e retornos de aeroportos." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-04042016-113039/.
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Este trabalho pretende investigar o risco e os retornos acionários de aeroportos internacionais listados em bolsas de valores controlando para diversos fatores, em especial, pelo modelo de regulação tarifária adotado pelo país de origem. Para isso, dados mensais específicos de vinte e um aeroportos e de seus países, além de fatores de mercado globais, entre julho de 2009 e julho de 2014, foram utilizados para estimar modelos multifactor com a adição de variáveis dummies para a regulação tarifária da observação (aeroporto-mês). As estimações sugerem que quanto mais leve ou inexistente for a regulação (light-handed ou não regulado), maior o retorno auferido. Já aeroportos com participação ativa governamental na gestão, cost-based ou com subsídios entre atividades aeronáuticas e não aeronáuticas (price-cap single-till) apresentaram menores retornos. Esses resultados produzem conclusões distintas: modelos de regulação mais restritos também mitigam riscos e, por isso, exigem menores retornos; aeroportos com regulação mais leve tem mais liberdade para exercer poder de monopólio em períodos favoráveis, porém possíveis mudanças de regulação e períodos adversos potencializam riscos.This paper intends to investigate risk and returns on publicly listed airports controlling for several factors, specially, by its pricing regulation. Thus, monthly data of twenty-one listed airports and their countries, alongside global market factors, from July 2009 to July 2014, aided computation of multifactor models with added dummies for regulation (airport-month). Results suggest lighter regulation (light-handed or non-regulated) produces higher stock returns, On the other hand, government owned airports, cost-based or those which non-aeronautical revenues subsidize aeronautical revenues (price-cap single-till) present lesser returns. Therefore, this paper reaches two distinct conclusions: tighter regulation mitigates risks and demand smaller returns; airports with lighter regulation have more freedom to use its market power during favorable periods, however possible changes in regulation and adverse periods enhance risks.
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Rashid, Nadimi Soheil. "Essays in financial econometrics and quantitative industrial organization." Diss., Kansas State University, 2015. http://hdl.handle.net/2097/18957.
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Doctor of PhilosophyDepartment of Economics
Lance Bachmeier
This dissertation consists of one essay in financial econometrics and two essays in quantitative industrial organization. The first essay studies the relationship between stock return volatility and current and prior shocks to oil price volatility. We study the behavior of aggregate stock markets as well as individual industry sectors. Our results show that lagged stock return volatility is the main determinant of current stock return volatility in aggregate markets, with oil price volatility providing no additional information that can be used to forecast stock return volatility. For individual industry sectors, we find a robust and stable prediction relationship only for the chemicals industry. Additional estimation exercises confirm the robustness of these results. The second essay uses a Bertrand-Nash price-competition framework to models a vertically integrated provider (VIP) that is a monopoly supplier of an essential input for downstream production. An input price that is “too high” can lead to inefficient foreclosure and one that is “too low” creates incentives for nonprice discrimination. The range of non-exclusionary input prices is circumscribed by the input prices generated on the basis of upper-bound and lower-bound displacement ratios. The admissible range of the ratio of downstream to upstream “price-cost” margins for the VIP is increasing in the degree of product differentiation and reduces to a single ratio in the limit as the products become perfectly homogeneous. The third essay explores the relationship between upstream input prices and downstream market exclusion under a Stackelberg quantity-competition framework. Market exclusion is a concern when input prices are “too high” and “too low” because it can result in inefficient foreclosure and sabotage, respectively. Consistent with the results obtained in the second essay, the safe harbor range of downstream to upstream “price-cost” margin ratios is decreasing in the degree of product homogeneity and approaches a single ratio in the limit as the products become perfectly homogeneous. This single margin ratio preserves equality between the VIP’s wholesale and retail “price-cost” margins. A key finding for competition policy is that the bounds of non-exclusionary input prices are markedly wider under Bertrand-Nash competition than they are under Stackelberg competition. Hence, it is critical that the antitrust and regulatory authorities understand the nature of the industry competition so that rules governing permissible conduct are properly calibrated to yield efficient outcomes.
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Holland, Avery. "Are Olympic Sponsorships Worth it? The Case of the Vancouver 2010 Winter Olympic Games." Scholarship @ Claremont, 2012. http://scholarship.claremont.edu/cmc_theses/406.
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As corporate sponsorship of sporting events becomes a more popular marketing tool, the price tag associated with these sponsorship agreements has steepened considerably. Over the past thirty years, sponsorship has become an integral part of the Olympic Games. In this paper, we employ an event study methodology to assess the impact of both the Vancouver 2010 Winter Olympic Games and the performance of Canadian Olympic athletes on the shareholder value of national Olympic sponsors. We hypothesize, in line with current behavioral finance research, that the national Olympic sponsors will capitalize on the positive mood and attention associated with the Games in such a way that Olympic sponsorship will positively impact shareholder value. However, we find that, from a stock return perspective, corporate sponsorship of the Vancouver 2010 Olympic Games is not a value-adding investment. We find that while the market index is positively impacted by both the Olympic Games and Canadian medalists, there is a negative and significant impact of the Olympic Games on national sponsors. Furthermore, Canadian medalists have a positive impact on the stock returns of three individual sponsors, but these winners' effects are negative for two sponsors and insignificant for another two sponsors.
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Bates, Brandon. "Essays in Financial Economics and Econometrics." Thesis, Harvard University, 2011. http://dissertations.umi.com/gsas.harvard:10419.
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In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. The mechanisms biasing coefficients in short-horizon regressions differ from those affecting longer horizons. Further, I demonstrate that R\(^2s\) are biased and give an estimable bias correction. A calibration exercise shows sample lengths will be insufficient to determine what predicts asset returns until beyond the year 2100. The problem is not isolated to highly persistent predictors; even modestly persistent predictors have difficulties. Further, long-horizon regressions have inferior power relative to their single-period counterparts. These results present a predicament. If return predictability exists, then our ability to identify its source using predictive regressions alone is exceedingly poor. The second essay, written with James Stock and Mark Watson, considers the estimation of approximate dynamic factor models when there is temporal instability in the factors, factor loadings, and errors. We demonstrate that estimators for the factors and for the number of those factors are consistent for their population values even when affected by these instabilities. Further, we characterize the inferential theory in our framework for the estimated factors and for diffusion index forecasts and factor-augmented vector autoregressions that make use of the estimated factors. These results illustrate the broad robustness factor models have against temporal instability. In the third essay, co-author Peter Tufano and I consider the complex accounting rules, explicit fund sponsor supports, and government actions, that grant US money market mutual fund investors an implicit put option allowing them to redeem their shares at a fixed price of $1.00, regardless of the portfolio's market value. We describe the institutional features that generate these options, identify their writers, and estimate their premia. Using a hypothetical MMMF, we find that currently, non-redeeming shareholders, fund sponsors, and the government collectively bear annual premia of 22 to 44 basis points to give MMMF shareholders the right to redeem their shares at $1.00 rather than at the market value of the fund portfolio. These premia rose dramatically during the financial crisis, with the put value potentially being over 50 basis points.
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Schnaitmann, Julie [Verfasser]. "Essays in Modern Time Series Econometrics with Applications in Macroeconomics and Finance / Julie Schnaitmann." Konstanz : KOPS Universität Konstanz, 2021. http://d-nb.info/1238018017/34.
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Robinson, Spenser J. "Investigations into the Robustness of Sustainable Real Estate Premiums and Commercial Real Estate Econometrics." Cleveland State University / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=csu1375785731.
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Dunne, Peter Gerard. "Essays in financial time-series analysis." Thesis, Queen's University Belfast, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.337690.
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Clarke, Tanya M. "Financial markets, portfolio theory and the credit crunch." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.286964.
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Furman, Yoel Avraham. "Forecasting with large datasets." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:69f2833b-cc53-457a-8426-37c06df85bc2.
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This thesis analyzes estimation methods and testing procedures for handling large data series. The first chapter introduces the use of the adaptive elastic net, and the penalized regression methods nested within it, for estimating sparse vector autoregressions. That chapter shows that under suitable conditions on the data generating process this estimation method satisfies an oracle property. Furthermore, it is shown that the bootstrap can be used to accurately conduct inference on the estimated parameters. These properties are used to show that structural VAR analysis can also be validly conducted, allowing for accurate measures of policy response. The strength of these estimation methods is demonstrated in a numerical study and on U.S. macroeconomic data. The second chapter continues in a similar vein, using the elastic net to estimate sparse vector autoregressions of realized variances to construct volatility forecasts. It is shown that the use of volatility spillovers estimated by the elastic net delivers substantial improvements in forecast ability, and can be used to indicate systemic risk among a group of assets. The model is estimated on realized variances of equities of U.S. financial institutions, where it is shown that the estimated parameters translate into two novel indicators of systemic risk. The third chapter discusses the use of the bootstrap as an alternative to asymptotic Wald-type tests. It is shown that the bootstrap is particularly useful in situations with many restrictions, such as tests of equal conditional predictive ability that make use of many orthogonal variables, or `test functions'. The testing procedure is analyzed in a Monte Carlo study and is used to test the relevance of real variables in forecasting U.S. inflation.
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Cavalcante, Elias Celestino. "Determinants of tax rates in the local level : the case of the ISS in the state of São Paulo." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-21092016-163036/.
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According to the survey Profile of Brazilian municipalities (2012) from the Brazilian Institute of Geography and Statistics (IBGE), around 63\\% of the municipalities in Brazil made use of \"mechanisms to attract companies\". Localities offer benefits to the companies with the interest of receiving future gains from the increase in economic activity. Among these mechanisms is the tax on services (ISS), which affects directly the services companies. In this context, this study aims to analyze the main determinants of the tax rates set by municipalities, including the interaction with neighbors municipalities in the tax setting. Using a database of São Paulo state municipalities, a tax decision equation is estimated, making use of some Spatial Econometrics methods. Moreover, to add robustness to the results, the choice of the best spatial weights matrices is made by a comparison of log-likelihoods. Finally, a Tobit model is estimated, extending the model of tax decision to incorporate the institutional arrangements that limit the range of the tax rate set by municipalities. The results achieved indicate that the characteristics of neighboring municipalities have a significant influence in the local tax rate setting, and also the estimation indicates the presence of interaction among the localities in the tax rates setting for some groups of serviceDe acordo com a pesquisa Perfil dos municípios brasileiros de 2012, do Instituto Brasileiro de Geografia e Estatística - IBGE, cerca de 63\\% dos municípios do país faziam uso de \"mecanismos de atração de empreendimentos\". Os municípios buscam oferecer benefícios às empresas visando ganhos futuros decorrentes do aumento da atividade econômica. Dentre os mecanismos que as localidades podem usar está o Imposto sobre Serviços (ISS), que aparece como um alvo importante de debate, pois afeta diretamente as empresas de serviços. Usando uma base de dados dos municípios do estado de São Paulo, um modelo para explicar a definição das alíquotas de ISS é estimado. Devido à inclusão das alíquotas da vizinhança no modelo, são utilizadas técnicas de Econometria Espacial. Ademais, para adicionar robustez aos resultados, a escolha das matrizes de pesos espaciais é feita por meio de uma comparação das log-likelihoods. Por fim, um modelo Tobit é estimado, para levar em consideração os limites institucionais das alíquotas de ISS, que poderiam limitar as funções de reação estimadas. Os resultados indicam uma relevante importância das variáveis da vizinhança na determinação das alíquotas locais, bem como a presença de interação significativa entre as municipalidades na definição das alíquotas de alguns grupos de serviços.
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Koh, Jason S. H. "Comparison of the new "econophysics" approach to dealing with problems of financial to traditional econometric methods." View thesis, 2008. http://handle.uws.edu.au:8081/1959.7/38828.
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Thesis (Ph.D.)--University of Western Sydney, 2008.Thesis submitted to fulfil the requirements for the degree of Doctor of Philosophy in the School of Economics and Finance, College of Business, University of Western Sydney. Includes bibliography.
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Li, Yuan. "The new development of econometrics and its applications in financial markets." Diss., Online access via UMI:, 2009.
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Mohammady, Ahmad. "A study of the relationship between the qualitative characteristics of accounting earnings and stock return." Thesis, Kingston University, 2011. http://eprints.kingston.ac.uk/21804/.
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The main purpose of this thesis is to test whether the quality of earnings improves the usefulness of accounting information in the decision making process. This is particularly important because the Financial Accounting Standard Board (FASB) considers the usefulness of accounting information as the primary objective of financial statements (FASB, 1978). To achieve this purpse, the thesis examines two interrelated subjects. The first subject of the study "The qualitative characteristics of accounting earnings and stock return" (Chaoter 3) assesses the impact of earnings quality on stock returns as a representative for the usefulness of earnings information. The research also attempts to extend the concept of earnings quality and its constructs based on the primary qualitative characteristics of accounting information from the FASB's viewpoint. Therefore, the study defines earnings quality as the extent to which reported earnings capture both dimensions of the qualitative characteristics of accounting information, relevance and reliability. Eight earnings quality attributes are characterized as either 'relevance-based' or 'reliability-based' to capture earnings information quality. Moreover, associations between earnings quality attricutes and stock returns are considered to test whether earnings quality information is reflected in the investors' decision-making process. The result indicates that all earnings quality attributes but one are associated with the returns of stock in the predicted way; the exception is conservatism. This finding suggests that the earnings quality attributes make accounting information useful for decision making, which is consostent with the FASB's assertion. In addition, comparisons of incremental explanatory power show that relevance-based earnings quality attributes explain more of the stock returns variation than do reliability-based earnings quality attributes. The second subject of the thesis, 'The effect of earnings quality on the value-relevance of accounting information' (Chapter 4), aims to link earnings quality constructs with the equity valuation model by assessing their effect on the relative desirability between the value-relevance of earnings and book value of equity. In this respect, the study investigated whether earnings quality constructs, systematized in the first topic of this study, are reflected in the equity valuation prcoess. This is an important issue, as the incorporation of earnings quality attributes into equity valuation models may provide more realistic estimates of the firm's value. The study conducts factor analysis on eight earnings quality attributes to construct an index of each earnings quality dimension for each firm-year. The results indicate that in portfolios of firms with high quality earnings (HH), the value-relevance of earnings and book value are respectively higher and lower than in portfolios of firms with low quality earnings (LL). Moreover, the study finds that the ability of earnings and book value jointly to explain stock price is significatnly higher in firms with high quality earnings information compared to firms with low quality earnings information. This finding confirms that earnings quality constructs provide relevant information in the valuation process.
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Shahid, Daniyal. "The Drivers of Corporate Headquarter Relocations and the Effects of the Announcements on Stock Market Returns." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/589.
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This paper will analyze the market reactions to news announcements of a corporate headquarter relocations for 76 firms through the time period of 1984 to 2012. Previous literature has identified that the market interprets capital expenditure decisions and acts on these interpretations, which can be found in the changes of the price of a security. The study uses an event-study methodology as well as a multiple-regression model to examine the contextual factors that play a role in influencing the corporate headquarter relocation decision. For the event-study, the event windows being used are two-day (-1,1), four-day (-2,2), fourteen-day (- 7,7), and two nineteen-day (-14,5 and -5,14) periods. The multiple regression model tests the relationship between the Average Cumulative Abnormal Returns over the event period three days prior to and after the day of the announcement (-3,3) against a number of other contextual variables.
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Papa, Gianluca. "Essays on econometrics of panel data and treatment models." Doctoral thesis, Universite Libre de Bruxelles, 2013. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209408.
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In this thesis, I apply the sophisticated tools made available by the econometrics of panel data and treatment models to a range of different issues. In the first Chapter, an ECM model is used to test on the existence of financing constraints in firms’ investment and R&D, taken a proxy for the efficiency of market institutions and governance rules in different countries. In the second chapter we test an agency model linking pay-performance contracts of CEOS to the financial situation of a firm by using a UK panel data. In the third chapter I use a sophisticated treatment model to evaluate the effectiveness of Italian public subsidies to R&D. Finally, in the fourth chapter I try to evaluate the efficiency of Italian regional systems of public healthcare by controlling for socio-economic factors and quality of healthcare in a composite model using panel data estimation and efficient frontier techniques.The first Chapter analyzes the investment behavior of a sample of R&D intensive firms which are quoted on the stock market from USA, UK and Japan for the period 1990-1998. By using an error correction model we test the elasticity of investment and R&D to cash flow in these countries to see by which measure different market institutions and corporate governance rules affects the cost of external financing. Contrary to previous studies, we find significant differences in the sensitivity to cash flow of the two types of investment, with R&D expenditure being much less sensitive than ordinary investment. This is not surprising given the more long-term nature of R&D expenditures. For what concerns the comparison between the different systems/countries, the USA stock markets confirms as the most efficient market providing outside financing at a much lower cost compared to other markets, especially for young, smaller firms.
The second Chapter is a joint work with Biagio Speciale. It uses the data on a panel of quoted UK firms over the period 1995–2002 to study the effects of financial leverage on managerial compensation. The change in the investors’ expectations that caused the recent collapse of the stock market tech bubble is a perfect example of natural experiment that has been used as a source of plausibly exogenous variation in the firm’s debt. The estimates show that pay-for-performance sensitivity is increasing in financial leverage, with the exception of the 10% most levered firms, giving rise at the end to a non-linear (inverted U-shape) relationship between the two variables. The chapter includes also a theoretical model accounting for this relationship where an higher leverage increases both the expected returns and the expected variance of investment returns: the first effect (determining increased pay-performance sensitivity) prevails for low leverage values and the second effect (determining decreased pay-performance sensitivity) prevails for high leverage values.
The third Chapter undertakes an empirical estimation of the additionality of public funding on both the propensity to initiate R&D activity and the intensity of R&D spending of Italian enterprises for the period 1998-2000, using data from the Third Community Innovation Survey and from firms' financial accounts. The chosen methodology (Endogenous Switching Type II-Tobit) takes into account the possibility that decisions about both starting an R&D activity (sample selection effect) and applying for/obtaining public funding (essential heterogeneity) are influenced by private knowledge of enterprises' idiosyncratic propensities in R&D spending. The present analysis shows that both these effects are indeed important and that they contribute to explain most of the additionality found with less sophisticated models.
The fourth Chapter investigates the underlying causes of variability of public health expenditure per capita (SSPC henceforth) between Italian regions. A fixed-effect panel data estimate on the SSPC (for the period 1997-2006) is used in the first part of the paper to account for regional differences in terms of physical, demographic, socio-economic characteristics and in terms of other variables that affect demand and supply of health services. In the second part, we take the ‘adjusted’ SSPC and proceed to estimate an "efficient production function" of the quality of health services through Data Envelopment Analysis. This procedure allows us to separate the share of expenditure used for the improvement of the quality from the one that can be traced only to an inefficient use of financial resources. A comparison of regional SSPC after factoring out the socio-economic factors and the quality of healthcare shows that big differences still remain and are even exacerbated, signalling big pockets of inefficiency and correspondingly a huge potential for cost savings. Finally, a preliminary analysis shows a positive correlation between the efficiency of regional public spending in healthcare and the level of social capital.
Doctorat en Sciences économiques et de gestion
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Quazzo, Dante. "Examining Gains in Operational Efficiency in Public-to-Private and Private-to-Private Transactions." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1000.
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Using private firm financial data, I compare operational improvements in public-to-private and private-to-private leveraged transactions in Western Europe between 2003 and 2010. Results are consistent with the recent literature and find operational gains to be significantly smaller then when buyouts were originally analyzed by Jensen (1989) and Kaplan (1989). Public firms experience an increase in raw EBITDA margin of 7.2 percentage points three years post-buyout, while a doubling of firm size yields an increase in EBITDA margin of 4.6 percentage points in year three post-buyout. Using industry-adjusted data, prior corporate form is positive and significant in year two post-buyout. Contrary to prior literature’s expectations, governance state does not impact increases in net profit margin or return on assets. My analysis offers support for the free cash flow theory, as the positive and significant effect of a public structure on EBITDA margin suggests that public firms have greater growth potential for private equity investors and more agency costs than their private counterparts.
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Uddin, Syed A. "Three Essays on International Trade and Finance." FIU Digital Commons, 2017. http://digitalcommons.fiu.edu/etd/3480.
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This dissertation is composed of three essays at the intersection of international trade and finance. In the first chapter, I measure exchange rate pass-through (ERPT) for value-added exports, where intermediate input requires sharing among countries in a back-and-forth manner for producing a single final product. I derive an estimating equation for ERPT and value-added trade following a partial equilibrium model, which also leads to decomposition of the trade elasticity into the own price effect and the price index effects. From the empirical estimation, I find that ignoring the value-added trade will cause a systematic upward bias in the estimation of ERPT. I also find that there exists substantial heterogeneity in pass-through rates across sectors: sectors with high-integration into global markets functions with a lower rate of exchange in comparison to sectors with less integration.
The second essay focuses on a specific market, where I examine the relationship between product attributes and ERPT. This paper estimates the ERPT by using good-level daily data on wholesale prices of imported agricultural products, where the identification is achieved by using daily data on the domestic inflation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about 5 percent. The key innovation is achieved when nonlinearities in ERPT are considered, where ERPT is doubled to about 10 percent when daily nominal
exchange rate changes are above 0.55 percent, daily frequencies of price change are above 3.12 percent, the storage life of a product is above 10 weeks, and for the non-zero price changes, the ERPT is complete.
In the final essay, I focus on the firms’ export pricing strategy: pricing-to-market strategy. To achieve this, I introduce a partial equilibrium model of firm’s pricing strategy, where the market share of a firm plays an important role in the determination of markup. The empirical estimation is that markup ranges from 1.25 to 1.5 across years and 1.25 to 51.23 across firms. I also find that markups come back to their average level within 30 to 60 days of the initial date.
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Huesing, Alex. "Crude Oil Volatility during the Shale Revolution." Scholarship @ Claremont, 2018. http://scholarship.claremont.edu/cmc_theses/1841.
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The purpose of this paper is to offer a review of the history of oil in order to build an understanding of the factors that make the commodity innately volatile. Then, we explain the recent development of US shale production, which may threaten to disrupt the status quo in oil markets. In the last decade, markets have endured two price collapses that are historic both in their frequency and individual magnitudes; however, recent volatility has remained low. We hypothesize that the shale revolution in the United States may have played a role in this new trend. Following the tradition of Pindyck (2004), we utilize a GARCH model in order to analyze crude-oil price volatility since 2004. In order to measure the effects of the shale revolution, we leverage a major news shock in August 2013, at which time Pioneer Natural Resources made the single largest announcement of new retrievable shale reserves in history. We find that the news announcement had a positive effect on the conditional variance of oil and a negative effect on daily returns. The limitations of our instrument for shale production constrain our interpretation of these results, preventing any definitive conclusions about shale companies’ possible role as a volatility-reducing swing producers.
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Xue, Wenjun. "Financial Sector Development, Economic Growth and Stability." FIU Digital Commons, 2018. https://digitalcommons.fiu.edu/etd/3715.
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My dissertation investigates financial sector development, economic growth and stability through the analysis of Chinese and international evidence. My first chapter is the introduction. The second chapter investigates the effects of Chinese financial and fiscal policies on the Chinese economic recovery in the 2008 economic stimulus Plan, covering the period from the Great Recession to 2014. This chapter explores the effects of the increase in bank credit growth with significant strain of banking health on firm-level output, employment and investment. The results demonstrate that the increase in government expenditure due to the fiscal policies has the significant effects on the very same firm-level indicators. The effects of such policies are shown to depend on firm characteristics such as size, liability ratio, profitability, ownership and industry. Regarding the dynamic effects of the policies, it is documented that the roles of Chinese financial and fiscal policies are effective but temporary on the Chinese economic recovery within about 2 years.
In the third chapter, I investigate the effects of financial sector development on the growth volatility by using the data of 50 countries. The empirical results show that the aggregate growth volatility declines from 1997 to 2014 in the global perspective while the advanced countries have much smaller growth volatility than the developing countries. Using the dynamic panel threshold model, I find that financial sector development significantly reduces growth volatility, especially in its lower regime. Financial sector development magnifies the shock of inflation volatility towards growth volatility in its higher regime. My results reveal the importance of keeping financial sector development at an optimal level, which is beneficial to reduce aggregate fluctuations and dampen the inflation shocks.
The fourth chapter examines the asymmetric roles of bank credit on the business cycle by using international evidence. The empirical results present that bank credit is pro-cyclical and amplifies the business cycle. This effect is larger in the economic peak and trough, which forms a U-shaped curve. The U-shaped influences are robust for alternative financial factors, including M2 supply and stock price. This paper contributes to explore the distinct roles of bank credit on the economy in different business cycle phases.
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Mace, Jennifer. "Are CDS Auctions the Tail Wagging the Dog? An Empirical Study of Corporate Bond Return Volatility at the Time of Default." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2212.
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Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around default and of market participants’ attempts to favorably move CDS’s underlying bond prices to achieve more profitable positions around default and emerging from CDS auctions. The analysis is performed by analyzing the effect of a bonds’ inclusion in CDS auctions on bond return volatility around the time of default while controlling for credit risk, illiquidity, firm fundamentals, and other bond-level controls. I find that bond return volatility around default is much higher as a result of a bond’s inclusion in a CDS auction, which serves as indirect evidence of bond price manipulation around default as market participants strive for more profitable CDS auction outcomes and possibly of manufactured credit events. Consistent with previous literature, I also find that bond illiquidity significantly impacts bond return volatility. My results are robust to propensity score matching, implementing double-robust estimators, and controlling for any time-varying cross-sectionally-invariant fluctuations in bond return volatility.
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Jiao, Linda. "Déterminants macroéconomiques du prix du vin." Thesis, Bordeaux, 2018. http://www.theses.fr/2018BORD0076/document.
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Cette thèse porte sur les déterminants macroéconomiques et financiers des prix du vin. Dans un premier temps, une revue de la littérature présente les principales contributions académiques portant sur les prix du vin. En complément de l'approche du prix hédonique, il est nécessaire d'étudier les liens entre l’évolution du prix du vin et les facteurs macroéconomiques et financiers. Ainsi, nous avons identifié de manière empirique les déterminants macroéconomiques du prix du vin. Au cours des 20 dernières années, le prix du vin a évolué en fonction des cycles économiques. Nous avons observé un point de rupture significatif en 2004, lorsque les vins prestigieux ont commencé à être de plus en plus financiarisés. Enfin, nous avons témoigné de l'existence de relations à long terme entre les indices des prix du vin et les indices boursiers et confirmé la transmission des fluctuations des prix des marchés financiers vers les marchés du vin à court et moyen termeThis thesis fills the gap in the research on the discovery of the macroeconomic and financial determinants of fine-wine prices. As a first step, a literature review presents main academic contributions on wine pricing. Complementary to the hedonic pricing approach, it is necessary to study the impact of macroeconomic and financial factors on the evolution of wine prices. Thereby, we have empirically identified the macroeconomic determinants of fine-wine prices. Throughout the past 20 years, the price of fine wines have been moving in accordance with the economic cycles, and there was a significant breakpoint at 2004 when fine wines started to be increasingly financialized. Finally, we have witnessed the existence of long-term relationships between fine-wine price indices and stock-market indices, and confirmed the transmission of price fluctuation from financial markets to fine-wine markets in a short-medium term
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Papageorgiou, Nikolaos. "M&A Performance: Market’s Initial Reaction as an Unbiased Indicator of Post-acquisition Performance." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2140.
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This paper investigates the reliability of the stock market’s initial reaction to M&A announcements as a predictor of actual post-acquisition performance. The two prevailing methods for evaluating M&A performance are event studies (stock market-based measures) and accounting-based measures. The present study combines these two performance evaluation approaches in a single empirical examination. Both the post-merger buy-and-hold abnormal returns and changes in ROA are used as actual post-acquisition performance variables. The acquirer’s cumulative abnormal return (CAR) around the announcement is used as the market predictor variable. An econometric model is employed to test the predictive power of the announcement-period CAR on the actual performance variables using a sample of 3,208 acquisitions by U.S. public companies from 2010 to 2014. This paper’s main contribution lies both in its methodology and its findings: on the one hand, long-term market and accounting variables are used as dependent variables measuring post-acquisition performance. On the other hand, this paper finds that short-term CAR is not a good predictor of subsequent M&A performance. The results suggest that the acquirer’s prior M&A experience is a positive predictor of post-acquisition performance.
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Chung, Sarah. "Successfully Financing Classical Music Kickstarter Projects." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/scripps_theses/606.
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With the rise of technology and finance, crowdfunding has been uprising as a popular method of financing projects. Kickstarter provides an online platform in which anyone with Internet access can upload their own project “pitch” to gain funding for their idea on an all-or-nothing model. My thesis explores financial trends and factors that potentially contribute to a successful Kickstarter campaign within the classical music projects subcategory. I use a logistic regression and the Ordinary Least Squares model to examine a dataset of already successfully funded projects and a second dataset that contains both successfully and unsuccessfully funded projects that were tracked over a period of time. Additionally, I collected text files of the word content on all projects to identify most frequently utilized words for the successful and unsuccessful files.
Controlling for other characteristics, the key findings are that projects with higher target funding levels are both less likely to fund and fund at a lower percentage of the target, projects receiving more comments are more likely to fund, and projects proposed by those that fund other projects are more likely to fund. In addition, certain words are correlated with success or failure. However, since the method of identifying important words used data mining rather than just testing, we cannot predict that these words would increase the likelihood of success in future projects. Due to limited sample size and high correlations among the variables in specifications including both the project characteristics and words, the main results for each set of explanatory variables used separately tend to become statistically insignificant.
Additionally, the funding pattern over time appears not to exhibit the herding behavior found in some asset pricing markets. This is an interesting finding given the highly social nature of funding via Kickstarter.
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Whitaker, Richard. "The Effects of Commodity Disturbances on Open Economics." FIU Digital Commons, 2017. http://digitalcommons.fiu.edu/etd/3229.
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This dissertation investigates the effects of commodity disturbances on underlying economies. The analysis conducted in this dissertation comprises of two main themes. The first is investigating which commodity disturbances affect a country's GDP. I examine twenty three OECD countries and nineteen primary commodities in the energy, metal, food and timber sectors using a New Keynesian model that was estimated using the DSGE method. It was found the oil disturbances and to a lesser extend natural gas were the only commodity disturbances that affect a country's GDP. Also, it was found that a country's openness plays an important role in shaping the response to these shocks. The second theme expands on these findings by analyzing the effects of oil and gas disturbances on Trinidad and Tobago by asking (1) How long are the effects from oil and gas disturbances on the economy? (2) How do the long-run effects from oil and gas disturbances differ within the economy? VECM and SVEC methods were used, and the results show that the effects from an oil disturbance are larger in magnitude and duration when compared to a gas disturbance. In addition, the effects of oil and gas disturbances had opposite movements on Trinidad and Tobago's CPI, interest rate, and narrow money velocity, whereas both disturbances were positively correlated in regards to Trinidad and Tobago's output and effective real exchange rate in the long-run.
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Guo, Tom. "The price discounts of Chinese cross-listed companies and their variation across sectors." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/569.
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This study builds on the paper by Arquette, Brown, and Burdekin (2008) and asks whether the factors which they find to be significant in influencing the differential between the share prices of Chinese securities traded on their home market in Shanghai versus share prices observed offshore in Hong Kong and New York have varying degrees of influence when compared across industries. This paper focuses on Chinese companies listed on both the Shanghai and Hong Kong Stock Exchanges and finds that the proxy variables of expected exchange rate change, relative market sentiment, and relative company sentiment are significant in determining the average discount observed and that their effects do indeed vary significantly from industry to industry.
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Zhang, Lei. "Two essays : on the common information in the return volatilities and volumes : on the informational efficiency of municipal bond market." Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available, full text:, 2008. http://wwwlib.umi.com/cr/syr/main.
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de, Silva Timothy H. "Are Volatility Expectations in Different Countries Interdependent? A Data-Driven Solution to Structural VAR Identification for Implied Equity Volatility Indices." Scholarship @ Claremont, 2018. http://scholarship.claremont.edu/cmc_theses/1772.
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Over the past couple of decades, the number of volatility indices has increased rapidly. These indices seek to represent the market’s expectation of realized volatility over the coming month, based on the prices of options traded on each underlying equity index. Although the dynamics of realized volatility spillover have been studied extensively, very few studies exists that examine the spillover between these volatility indices. By using DAG-based structural vector autoregression, this paper provides evidence that implied volatility spillover differs from realized volatility spillover. Through solving the well-known VAR identification problem for these indices, this paper finds that Asia, more specifically Hong Kong, plays a central role in implied volatility spillover during and after the 2008 financial crisis.
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Joëts, Marc. "Prix des énergies et marchés financiers : vers une financiarisation des marchés de matières premières." Thesis, Paris 10, 2013. http://www.theses.fr/2013PA100074/document.
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Depuis plusieurs décennies, les prix des énergies sont sujets à une volatilité croissante pesant considérablement sur l’ensemble de l’économie. Comparée aux prix des autres matières premières (comme, par exemple, les métaux précieux, ou encore les produits agricoles), l’évolution des produits énergétiques est apparue exceptionnellement incertaine, tant à long terme qu’à court terme. Dans un contexte économique global, ce phénomène acquiert toute son importance tant les dommages sur l’économie réelle d’une forte variation des prix des matières premières peuvent être conséquents. Cette thèse s’intéresse donc aux causes profondes expliquant ces fluctuations. Plus spécifiquement, en unissant les différents champs de l’économie de l’énergie, de l’économétrie, de la finance et de la psychologie, elle s’attache à comprendre le phénomène de financiarisation des commodités et les relations étroites entre marchés financiers et marchés des matières premières. Cette réflexion s’articule en trois thèmes : d’une part la relation entre les prix des différentes énergies et leurs propriétés financières est analysée, d’autre part les aspects émotionnels et comportementaux des marchés sont étudiés, enfin les liens directs entre marchés boursiers et marchés de commodités sont abordésSince decades, energy prices are subject to increasing volatility affecting the whole economy. Compared to other commodity prices (for example precious metals and agro-industrial), energy price dynamics appear to be extremely uncertain both at short and long run. In a global economic context, this phenomenon is very important since intense variations of commodity prices can be tragic to real economy. This thesis focuses on the true nature of these movements. More formally, we investigate the commodity markets’ financialization, as well as the relationships between commodity and stock markets by unifying the fields of energy economics, econometrics, finance and psychology. This analysis is based on three themes: first energy prices relationships and their financial properties are analyzed, and then the behavioral and emotional specification of energy markets are studied, finally comovements between stock and commodity markets’ volatility are considered
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Carabotta, Laura. "Fiscal Forecasting in Italy." Doctoral thesis, Universitat de Barcelona, 2015. http://hdl.handle.net/10803/301770.
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The thesis “Fiscal forecasting in Italy” is comprised of three main chapters in which is analyzed, from an empirical point of view, several issues related to public finance forecasts, with an application to Italy.
Chapter II, “Accuracy of fiscal forecasts in Italy” is focused on one of the most important aspects of the new Treaty: it requires that the decisions and recommendations taken by the European Commission are no longer be based on outcomes but on forecasts.
In this chapter, I evaluate whether fiscal forecasts for Italy are accurate and econometrically efficient. I focus on a large number of deficit forecasts for Italy that come from a variety of sources, including both public and private agencies as well as Italian and international institutions. I analyse the extent of the discrepancies between the yearly released deficit on GDP and its forecast in Italy from 1/1992 to 12/2011. I conduct two types of analysis. In the quantitative analysis, I carry out different accuracy tests to detect which organization is the best forecaster and in what part of the year better results are published. I also compare forecasters’ performance against a naïve benchmark model, which provides a minimum level of accuracy. In the qualitative analysis, I consider the quality of the forecasts and I test efficiency, unbiasedness and serial correlations. I conclude that all fiscal forecasters for Italy provide unbiased and inefficient forecasts. In general, forecast errors do not persist in a regular way. The most relevant result of this analysis is that private forecasters are frequently more accurate than national and international ones.
In Chapter III, “Combine to compete: improving fiscal forecast accuracy over time”, take advantage of the information contained in all individual budget forecasts analysed in the previous chapter to improve their accuracy. I do this by projecting combined forecasts through pooling the judgment and expertise of the forecasters. Following this idea of improving the forecasting accuracy, I apply a variety of combination techniques, both simple and advanced, which account for past forecasting performance, to compute a combined forecast. I look at a same dataset which is analysed in the previous Chapter. My main finding is that different combinations of budget forecasts often result in more accurate forecasts than individual models. This is particularly the case for a weighted forecast combination and Rbest that value the forecasts that have been more accurate in recent periods. Standard tests of forecasting accuracy show that even one year ahead, some of the pooled forecasts significantly outperform a naïve model. I use recently developed fluctuation tests to check forecasting accuracy over time I find that the weighted forecast combinations outperforms other predictors overall years. Its improvement in accuracy is statistically significant when compared to a naïve model.
Chapter IV, “Nowcasting public finance in Italy,” moves from the idea of forecast and combination of annual data to the most recent idea of nowcasting fiscal variables. The reason is to give policy makers the capacity for dynamic monitoring of the public budget’s cash flow. This monthly analysis exploits the information at higher frequencies before the official figure becomes available. The approach that I use consists of using different nowcasting techniques that are well known in the literature. In particular, I propose a set of models that are parsimonious and suitable for real-time monitoring of the fiscal deficit. I conclude that the linear regression models outperform the other techniques used. The introduction of public finance and economic confidence variables and Google trends results in performance gains when compared with the VAR, the time series and autoregressive models.
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Jaitha, Vedant V. "Short-Term Effects of Announcements and Performance of Athletes on their Respective Sponsoring Companies." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/909.
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Sponsorship is one of the main methods through which a number of companies perform marketing and advertising functions. Athletes can serve as brand ambassadors of various products which are believed to help increase sales and/or enhance the image of a firm. Although a lot of research has been done regarding the subject of how sponsorship announcements affect sponsoring companies, not much research is available regarding how non-economic events and individual performances affect sponsors in the short-run. This study hypothesized that ‘good news’ would cause positive abnormal returns while ‘bad news’ would cause negative abnormal returns for the sponsoring companies. A total of nine events relating to three athletes and ten sponsoring firms were analyzed. Although not many significant results were found, this study helped establish the idea that the temporary images of athletes and emotions related to athletes do not affect the financial markets in a large capacity. This study also lays out some further areas of research in the similar field.
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Bertomeu, Salvador. "Essays on the economics, politics and finance of infrastructure." Doctoral thesis, Universite Libre de Bruxelles, 2021. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/316958.
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The main idea of this thesis is to study three different issues, economic, political, or financial, related to three different public infrastructure sectors, transport, water and sewerage, and electricity, by using three different methodological approaches. In the first chapter, I make creative use of a non-parametric technique traditionally used to measure the relative efficiency of a set of similar firms, data envelopment analysis, to identify the most likely objective, economic vs. political, behind a specific policy. In the second chapter I empirically investigate the effects of the increasing private financial ownership of the water and sewerage utilities in England and Wales on key outcome variables such as leverage levels and consumer bills. Finally, in the third chapter, I evaluate an equity-aimed policy introduced in the electricity sector in Spain in 2009 by measuring the effect of its introduction on the probability of a household of being energy poor.Chapter One – Unbundling political and economic rationality: a non-parametric approach tested on transport infrastructure in SpainThis paper suggests a simple quantitative method to assess the extent to which public investment decisions are dominated by political or economic motivations. The true motivation can be identified by modeling each policy goal as the focus of the optimization anchoring a data envelopment analysis of the efficiency of the observed implementation. In other words, we rank performance based on how far observed behavior is under each possible goal, and the goal for which the distance is smaller reveals the specific motivation of the investment or any policy decision for that matter. Traditionally, data envelopment analysis is used to measure the relative efficiency of a set of firms having a similar productive structure. In this case, each firm corresponds to a different policy year, the policy being the determinant of the investment made.The approach is tested on Spain’s land transport infrastructure policy since it is argued by many observers to be driven more by political than economic concerns, resulting in a mismatch between capacity investment and traffic demand. History has shown that when the source of financing has been private, the network has been developed in areas with high demand, i.e. the Northern and Mediterranean corridors. When the source has been public, the network has been developed following a radial pattern, converging from a to Madrid. The method clearly shows that public investments in land transport infrastructure have generally been more consistent with a political objective – the centralization of economic power – than with an economic objective – maximizing mobility –.Chapter Two – On the effects of the private financial ownership of regulated utilities: lessons from the UK water sectorThis paper analyzes the quantitative impact of the growing role of non-traditional financial actors in the financing structure and consumer pricing of regulated private utilities. The focus is on the water sector in England and Wales, where the effect of the firms’ corporate financing and ownership strategies on key outcome variables may have been underestimated. The sector was privatized in 1989, year in which the 10 regional monopolies became 10 water and sewerage companies, listed and publicly traded on UK Stock Exchanges. Since then, six of the ten have been de-listed, bought-out by private equity – investment and infrastructure funds. I make use of this variation in ownership to measure the effect on leverage levels and consumer bills.I develop a theoretical framework allowing me to derive two hypotheses: first, the buyout of a company increases its leverage level, and second, the buyout of a company increases the consumer bill through higher leverage levels. The empirical analysis is based on two sequential steps: a staggered difference-in-differences estimation shows that private equity buyouts increase the leverage levels of water utilities. An instrumental variable and two-stage least squares estimation then show that these higher leverage levels increase the average consumer bills of bought-out utilities more than if they had not been bought-out. The estimated impact of the private equity buyouts in the sector in England and Wales on the annual average consumer bill ranges from 13.5 to 32.6 GBP, for a sample average bill of about 427 GBP.Chapter Three – Understanding the effectiveness of the electricity social rate in reducing energy poverty in SpainThis paper analyzes the causal impact of the introduction of a social subsidy, the bono social de electricidad, in Spain's electricity market in 2009. The measure was introduced following the surge in energy poverty, increasing particularly after the financial crisis. Using data from the family budget survey from 2006 to 2017, we evaluate the social policy in its fight against energy poverty.We proceed in two steps. First, we use a difference-in-differences approach to measure such a causal impact and to analyze how the introduction of the measure directly affected eligible households. We find that the introduction of the subsidy has reduced the likelihood of energy poverty for the eligible households. Therefore, the bono social de electricidad has reached its equity objective of increasing affordability of electricity. The second step aims at understanding how specifically the introduction of the subsidy affects consumers. We find that, in reaction to lower effective prices, households do not increase their consumption of electricity, resulting in lower total electricity expenditure. We are therefore able to show that this policy did not induce a change in the consumption behavior and that the increased affordability entirely resulted in a decrease of expenditure in electricityDoctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
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Petit, Elizabeth J. "The Rule of Law and U.S. Direct Investment Abroad." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/623.
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This paper employs an augmented gravity model for a sample of 96 host countries to examine the impact of host country rule of law on direct investment from the United States. This paper further investigates the gap between property rights and freedom from corruption, the two primary components of a country’s rule of law. Property rights and freedom from corruption are both shown to have a significant positive effect on U.S. outward foreign direct investment. This thesis argues that freedom from corruption is a more powerful measure than property rights for determining the location of U.S. direct investment. This suggests that for host countries, reducing the level of corruption may be more effective at stimulating direct capital investment from U.S. investors than expanding property rights.
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Koshy, Jacob. "An exploration of the use in practice of credit risk models." Thesis, Kingston University, 2012. http://eprints.kingston.ac.uk/23705/.
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Credit risk is treated as a major risk in banks and has become more important with the 2008 financial crisis and the subsequent regulatory controls, mainly in the form of new changes in Basel II and the proposed Basel III requirements. The use of credit risk models grew in the 2000s due to both the use of internal models in Basel II as well as bank use for economic capital calculations. These models have a large and growing influence on how credit risks are managed, yet there is a gap in the current literature on how these models are used in practice. This research explores their use in banks to help provide academic and management insight into the actual use of credit risk models. An interpretative approach using qualitative case study was undertaken in three banks using face-to-face interviews with the key credit risk managers that worked in the methodology, decision making, monitoring, control and reporting areas. While interviews were the main source of data for the research, it was supported by observation and a review of documentation that related to the use of credit risk models in the bank. The research findings show the merits in examining the social, organisational and cultural constructions as well as the role of individuals in this process. This evidences the usefulness of interpretive research, which thrives on diversity of meanings as opposed to comparing just the technical aspects of the models as found in more traditional studies. This research provides a contribution to the academic understanding of the use of credit risk models not found in any of the studies to date. This includes new insights into the use of qualitative information, the use of expert judgement (including an element of gut feel), how model complexity can detract from model use and the importance of aligning models to the risk appetite of the bank. These findings are significant both from an academic and practitioner aspect as they open up commonly-hidden processes on how these models are used in practice.
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Mavredakis, Michael J. "The Liberalization Of Shibor And The Economic Fundamentals Of House Price Growth In China." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/933.
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This paper uses data collected from the National Interbank Funding Center of China, the People’s Bank of China, the National Bureau of Statistics, and Bloomberg starting in October 2006 through 2013 to test the economic fundamental’s affecting the housing market in Shanghai, particularly interest rates. This study finds that the 6- month duration Shibor has a negative and significant correlation with house price growth in Shanghai when lagged 4 months. The analysis continues by examining other economic fundamentals affecting house price growth, finding growth in inflation, the money supply and Shanghai real estate investment to have significant, positive relationships with the housing market in China. GDP and the national state balance, on the other hand, have negative and significant relationships with house price growth. The Shanghai stock exchange was found to have no significant impact on the housing market over the time period. The sample period is limited to 87 observations due to the relatively recent development of Shibor for a benchmark interest rate.