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Articles 1 - 11 of 11
Full-Text Articles in Business
Synthetic Collateral Debt Obligation Pricing, Zhanyong Liu
Synthetic Collateral Debt Obligation Pricing, Zhanyong Liu
Dissertations and Theses Collection (Open Access)
Portfolio credit products, such as CDO and Single Tranche CDO (STCDO) have gained their popularity in financial industry. The key problem facing by the financial engineers is how to price these portfolio credit derivatives, especially how to model the dependent default structure. Copula model proposed by Li (2000) is widely used in practice. Comparing with simulation, factor copula model and conditional independent framework provide good balance between accuracy and computational efficiency, but it is hard to achieve good performance if sticking to normal distribution. There are a few ways to improve it: introducing Levy distributions, using generic copula functions, and …
Liquidity, Credit Risk And Pricing Of Corporate Bond, Xiaoli Sun
Liquidity, Credit Risk And Pricing Of Corporate Bond, Xiaoli Sun
Dissertations and Theses Collection (Open Access)
Employing a comprehensive database on transactions of corporate bonds issued by corporations, agencies and financial institutions, we compare the different liquidity measures--bid-ask spread, zero-return percentage, Amihud illiquidity factor for the corporate bond market. The criteria of judging is based on the explanatory power of different liquidity measures in determining yield spread over the benchmark curve (equivalent-maturity Treasury bond or notes). The conclusion is that liquidity plays a role in determining corporate bond yield spread. There are significant differences in the explanatory power of the different liquidity measures; among the liquidity measures, zero-return percentage works best. Preliminary findings, based on the …
Bundling Information Goods: The Case Of E-Journals, Yong Tan
Bundling Information Goods: The Case Of E-Journals, Yong Tan
Dissertations and Theses Collection (Open Access)
With the development of the Internet, e-business has become popular. Increasingly, e-journals are being sold via the Internet. E- journals have two main characteristics: one is the low marginal cost associated with access; the other is the large number of items. For the commercially motivated seller, the issue of bundling a large number of low marginal cost items so as to maximize profits needs to be dealt with. In this thesis, a solution by way of an intermediate bundle is proposed. It is found that the profit obtained under the proposed procedure is 4% to 5% higher than that under …
Moving Window Unit Root Test: Locating Real Estate Price Bubbles In Seoul Apartment Market, Shuping Shi
Moving Window Unit Root Test: Locating Real Estate Price Bubbles In Seoul Apartment Market, Shuping Shi
Dissertations and Theses Collection (Open Access)
Bubbles are characterized by rapid expansion followed by a contraction. Evans (1991) shows that stationarity tests suggested by Hamilton and Whiteman (1985) and Diba and Grossman (1988) are incapable of detecting periodically collapsing bubbles. Phillips, Wu, and Yu (2006) advanced the forward recursive unit root test which improves the power significantly in the presence of periodically collapsing bubbles. In this paper, we consider rolling window unit root test with a pre-selected optimum window. A combining use of conventional unit root test and forward recursive unit root test is suggested from the results of power comparison. Furthermore, we apply those three …
Regional Trade Agreements Revisited, Hui Chin Tan
Regional Trade Agreements Revisited, Hui Chin Tan
Dissertations and Theses Collection (Open Access)
The gravity model is a workhorse for econometric studies of the impact of regional trade agreements (RTAs). Despite its initial lack of theoretical basis, the model has been successfully derived from various trade theories. The latest theoretical derivation by Anderson and van Wincoop (2003) reveals that prior gravity studies have made the critical error of omitting the multilateral resistance variable, which results in biased estimates. Other recent studies have highlighted empirical issues with the commonly used procedure of log-linearizing the gravity model and estimating the parameters using Ordinary Least Squares (OLS) regression. Silva and Tenreyro (2006) point out that this …
Interest Rate Uncertainty And Stock Market Volatility, Jincai Xu
Interest Rate Uncertainty And Stock Market Volatility, Jincai Xu
Dissertations and Theses Collection (Open Access)
The reason for volatility changing over time is still open. As stated in the extant papers uncertainty of Macroeconomic variable plays more important role in explaining the time varying of volatility than the volatility of Macroeconomic variable itself. In this paper we illustrate this with exploring the relationship between stock market volatility and the Interest Uncertainty. In the paper, we take the uncertainty of the decision of FOMC meeting as the uncertainty of interest rate. As we know, asset price is a tool for people to express their belief about the state of the economy, when uncertainty is high, a …
The Predictability Of Overnight Information, Zhuo Zhong
The Predictability Of Overnight Information, Zhuo Zhong
Dissertations and Theses Collection (Open Access)
By decomposing close to close returns into close to open returns (overnight returns) and open to close returns (daytime returns), we test the predictability of overnight information, which is captured by absolute values of close to open returns, on daytime return volatility. Applying the stochastic volatility model, we find that overnight price changes contain important information to predict daytime volatility. The predictive power is highest at market opening and declines gradually over the trading day. Moreover, the predictive power is higher for inactive traded stocks than for actively traded stocks.
What Explains Credit Default Swaps Bid-Ask Spread?, Yaru Chen
What Explains Credit Default Swaps Bid-Ask Spread?, Yaru Chen
Dissertations and Theses Collection (Open Access)
The pace at which the Credit default swaps (CDS) has been growing since its inception topped all projections. Despite the rapid growth, there is still room for enhancement of liquidity in the CDS market. Asymmetric information is another concern of investors in CDS market, however, some literature addressed that it may not be as serious as regarded. Bid-ask spreads is commonly used as a proxy of both liquidity and asymmetric information. Our empirical study confirms that CDS bid-ask spread has explanatory power to CDS premium. We then investigate the liquidity component in CDS bid-ask spreads. We use the bond age, …
Abnormal Trading Volume, Stock Returns And The Momentum Effects, Ying Zheng
Abnormal Trading Volume, Stock Returns And The Momentum Effects, Ying Zheng
Dissertations and Theses Collection (Open Access)
This paper intends to study the intermediate-term momentum and long-term reversal of stock prices by investigating the informational role of unusual trading volume for winner and loser stocks. I argue that unusual trading volume has different implications for winner and loser stocks. Specifically, high trading volume for losers is driven by purchases made by informed investors; while high trade volume for winners could be driven by either information or representativeness bias or both. The arguments are tested in the paper by showing that in the short run, losers/winners with high abnormal trading volume outperform losers/winners with low abnormal trading volume; …
Do Warrants Lead The Underlying Stocks And Index Futures?, Ying Kui Lin
Do Warrants Lead The Underlying Stocks And Index Futures?, Ying Kui Lin
Dissertations and Theses Collection (Open Access)
The lead-lag relation between options and stocks has been a subject of controversy for years with conflicting findings in the literature. In this thesis, we present an intuitive method to examine the lead-lag relation, if any, in the tick-by-tick data of covered warrants and their underlying stocks or underlying index futures. Our method is non-parametric and needs no assumptions which are critical to the regression-based methods. We find that the electronically traded warrants do not lead stocks or index futures; the movements in the warrants' quotes provide little information about the quotes of the underlying stocks or index futures. Instead, …
On The Calibration Of The Libor Market Model, U Lagunzad Demelinda
On The Calibration Of The Libor Market Model, U Lagunzad Demelinda
Dissertations and Theses Collection (Open Access)
This thesis presents a study of LIBOR market model calibration. In particular, the study builds on the prevailing calibration methodologies in an attempt to find a method that simultaneously recovers implied volatility and forward rate correlations structures from market prices of plain vanilla options. In order to ensure that complex derivative pricing and hedging requirements are jointly addressed, the study extends the performance analysis of calibration methods from a static level of goodness-of-fit with market prices test, to a dynamic level of approximation to next period's LIBOR (London Interbank Offer Rate) dynamics when tested on a series of market prices. …