Finance and Financial Management Commons^™

The Effects Of Local And Global Risk Factors On Industry Stock Returns: Across Country Analysis, Mahdy Farag Elhossiny

Theses and Dissertations in Business Administration

This dissertation studies the local and global sources of risk and industries stock returns across national equity markets. We examine several local and global economic risk factors and ask whether and to what extent these risk factors can explain the variation in the industries' stock returns of five countries, namely Canada, Germany, Japan, the U.K., and the U.S. Specifically, the main objective of this dissertation is to find answers for three main questions: First, whether and to what extent do returns on local industries respond to changes in local macroeconomic risk factors? Second, whether and to what extent do returns …

Jackknifing Bond Option Prices, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

Prices of interest rate derivative securities depend crucially on the mean reversion parameters of the underlying diffusions. These parameters are subject to estimation bias when standard methods are used. The estimation bias can be substantial even in very large samples and much more serious than the discretization bias, and it translates into a bias in pricing bond options and other derivative securities that is important in practical work. This article proposes a very general and computationally inexpensive method of bias reduction that is based on Quenouille's (1956; Biometrika, 43, 353-360) jackknife. We show how the method can be applied directly …

Stormwater Utility Fees: Considerations & Options For Interlocal Stormwater Working Group (Iswg), New England Environmental Finance Center

Water

Stormwater utilities are a concept whose time seems to have arrived. Established by relatively few communities in the 1970s as a method of funding flood control measures, stormwater utilities now exist in over 400 municipalities and counties throughout the United States. During the next 10 years, their numbers are expected to swell dramatically – by one estimate to over 2,000 by the year 2014.

The reasons for this growth are multifold. Federal stormwater regulations passed in the 1980s (Phase I of the National Pollutant Discharge Elimination System Program, or NPDES), motivated many larger communities to seek alternative funding sources and …

The Impact Of S&P Depository Receipts On The S&P Cash And Futures Market, Andrew J. Economopoulos

Business and Economics Faculty Publications

The introduction of the S&P Depository Receipt (SPDR) in 1993 was a financial innovation that produced several ripple effects in the financial markets. Not only did it allow the small investor to purchase a piece of the S&P 500 Cash Index, it would allow the large investor to utilize the security for arbitrage opportunities with the S&P 500 futures. A theoretical model of arbitrage opportunities utilizing SPDR is developed. The theoretical model provides two outcomes. First, the adoption of the SPDR as an arbitrage tool depends on transaction and liquidity costs and second, the innovation could potentially reduce the traditional …

The International Transmission Of Capital Shocks: Implications Of A Revised Basel Accord For Developing Countries, Kevin T. Jacques

Kevin T Jacques

No abstract provided.

An Empirical Review Of Us Corporate Default Swap Valuation: The Implications Of Functional Forms, Kwamie Dunbar

WCBT Faculty Publications

This paper first develops a reduced form three-factor model for valuing credit default premia that is used to provide implicit prices which are then compared with market prices of credit default swaps to determine if swap rates adequately reflects market risks. This model extends Jarrow (2001) two-factor model by adding three new features to enhance the effectiveness of the model and add to the growing debate on the empirical pricing of credit default swap and the effectiveness of reduce form models. Firstly, the extended model retains Jarrow's mean reverting properties but will be extended to be arbitrage free because of …

Private Information And Market Movements: New Evidence From The Wednesday Closings Of 1968, Thomas Berry

Thomas D Berry

No abstract provided.