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Economics

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2007

Articles 1 - 7 of 7

Full-Text Articles in Finance and Financial Management

Indiana State University Financial Report 2007, Indiana State University Jan 2007

Indiana State University Financial Report 2007, Indiana State University

Financial Reports

No abstract provided.

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A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang Jan 2007

A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang

Research outputs pre 2011

There is controversy about whether a monetary union is feasible in the East Asian region. Amongst the criteria for establishing a monetary union, most of the existing studies focus on the symmetric issue of fundamental shocks and the extent of correlations by applying the Blanchard and Quah (1989) structural vector autoregression (VAR) technique, which includes the firstdifferenced variables in the model and examines only bilateral relationships. When forming a monetary union, the member countries need to renounce their monetary policy autonomy. If shocks to respective economies are symmetric, the cost of relinquishing the discretionary monetary policy is likely to be …

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Oxytocin Increases Generosity In Humans, Paul J. Zak, Angela Stanton, Sheila Ahmadi Jan 2007

Oxytocin Increases Generosity In Humans, Paul J. Zak, Angela Stanton, Sheila Ahmadi

Business Faculty Articles and Research

Human beings routinely help strangers at costs to themselves. Sometimes the help offered is generous-offering more than the other expects. The proximate mechanisms supporting generosity are not well-understood, but several lines of research suggest a role for empathy. In this study, participants were infused with 40 IU oxytocin (OT) or placebo and engaged in a blinded, one-shot decision on how to split a sum of money with a stranger that could be rejected. Those on OT were 80% more generous than those given a placebo. OT had no effect on a unilateral monetary transfer task dissociating generosity from altruism. OT …

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Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka Jan 2007

Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka

Research Collection School Of Economics

This paper implements the Asymmetric AutoregressiveConditional Duration (AACD) model of Bauwens and Giot (2003) to analyzeirregularly spaced transaction data of trade direction, namely buy versus sellorders. We examine the influence of lagged transaction duration, lagged volumeand lagged trade direction on transaction duration and direction. Our resultsare applied to estimate the probability of informed trading (PIN) based on theEasley, Hvidkjaer and O’Hara (2002) framework. Unlike the Easley-Hvidkjaer-O’Hara model, which uses the daily aggregate number of buy and sellorders, the AACD model makes full use of transaction data and allows forinteractions between buy and sell orders.

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Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu Jan 2007

Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu

Research Collection School Of Economics

In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, Mykland and Ait-Sahalia (2005). The time series properties of realized daily variance are compared with those of variance estimates obtained from parametric GARCH and stochastic volatility models. Unconditional and dynamic properties concerning the realized daily variance are examined, the relationship between realized variance and returns is investigated, and the stylized facts concerning realized daily …

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Selected Lid Projects In New England, New England Environmental Finance Center Jan 2007

Selected Lid Projects In New England, New England Environmental Finance Center

Planning

Examples of low impact development (LID) projects in each state in New England.

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Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung Jan 2007

Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung

Finance Faculty Publications

We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …

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