Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Financial frictions (2)
- Amplification (1)
- Asymmetric information (1)
- Asymmetric timeliness (1)
- Bias reduction (1)
-
- Borrowing constraints (1)
- Business Cycles (1)
- Business cycles (1)
- Capital reallocation (1)
- Conglomerate discount (1)
- Continuous record (1)
- Convexity (1)
- Discrete sampling (1)
- Diversified firms (1)
- Export participation (1)
- Firm heterogeneity (1)
- Flow-Performance Relationship (1)
- Future shocks; Business assets; Employment. (1)
- Incentives (1)
- Indirect inference (1)
- Jackknife (1)
- Maximum likelihood (1)
- Mutual funds (1)
- Propagation (1)
- Realized volatility (1)
- Shareholder distributions (1)
- Spinoff (1)
- Transition density (1)
Articles 1 - 9 of 9
Full-Text Articles in Social and Behavioral Sciences
Maximum Likelihood And Gaussian Estimation Of Continuous Time Models In Finance, Peter C. B. Phillips, Jun Yu
Maximum Likelihood And Gaussian Estimation Of Continuous Time Models In Finance, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These approaches range from crude Euler-type approximations and higher order stochastic Taylor series expansions to more complex polynomial-based expansions and infill approximations to the likelihood based on a continuous time data record. The methods are discussed, their properties are outlined and their relative finite sample performance compared in a simulation experiment with the nonlinear CIR diffusion model, which …
Future Fiscal And Budgetary Shocks, Hian Teck Hoon, Edmund S. Phelps
Future Fiscal And Budgetary Shocks, Hian Teck Hoon, Edmund S. Phelps
Research Collection School Of Economics
We study the effects of future tax and budgetary shocks in a non-monetary and possibly non-Ricardian economy. An (unanticipated) temporary labor tax cut to be effective on a given future date—a delayed “debt bomb”—causes at once a drop in the (unit) value placed on the firms' business asset, the customer, with the result that share prices, the hourly wage, and employment drop in tandem. This paradox of reduced activity through announcement of future “stimulus” does not hinge on an upward jump of long interest rates. A future tax-rate cut lacking a “sunset” provision has the same negative effects.
Financial Frictions And International Trade, Ruanjai Suwantaradon
Financial Frictions And International Trade, Ruanjai Suwantaradon
Research Collection School Of Economics
This paper studies the effects of financial market imperfections on a firm’s operating and exporting decisions. I introduce financial frictions into a trade model with heterogeneous firms along the line of Melitz (2003). With the presence of financial constraints, even among a group of firms with the same productivity level, firms that are more financially constrained operate on a less efficient scale, and as a result, may no longer find operating and/or exporting profitable. In addition, financial frictions may create a distortion compared to the Melitz (2003) world since operation and export participation may be undertaken by those with better …
Earnings Asymmetric Timeliness And Shareholder Distributions, Richard M. Frankel, Yan Sun, Rong Wang
Earnings Asymmetric Timeliness And Shareholder Distributions, Richard M. Frankel, Yan Sun, Rong Wang
Research Collection Lee Kong Chian School Of Business
We study whether more asymmetrically timely earnings constrain payouts to shareholders in the presence of bad news. Our goal is to provide evidence on the ex post contracting benefits of accounting conservatism. We distinguish between cash flow asymmetric timeliness and accrual asymmetric timeliness to examine how each relates to asymmetric sensitivity of shareholder payouts. We find that only the asymmetric timeliness of cash flows is significantly related to the asymmetric sensitivity of shareholder payouts. Other measures of conservatism (earnings skewness and accumulated nonoperating accruals) are also not significantly related to the sensitivity of shareholder payouts given bad news. These results …
Time-Varying Incentives In The Mutual Fund Industry, Jacques Olivier, Anthony S. Tay
Time-Varying Incentives In The Mutual Fund Industry, Jacques Olivier, Anthony S. Tay
Research Collection School Of Economics
This paper re-examines the incentives of mutual fund managers arising from investor flows. We provide evidence that the convexity of the flow-performance relationship varies with economic activity. We show that the effect is economically large and is not driven by abnormal years. We test two possible channels through which this pattern may arise. We investigate implications of the timevarying convexity for the incentives of managers to alter strategically the risk of their portfolios. We provide evidence that poor mid-year performers increase the risk of the portfolio only when economic activity is strong. Finally, we briefly discuss some methodological implications.
Asymmetric Information And Conglomerate Discount: Evidence From Spinoffs, Charlie Charoenwong, Kuan Yong David Ding, Jing Pan
Asymmetric Information And Conglomerate Discount: Evidence From Spinoffs, Charlie Charoenwong, Kuan Yong David Ding, Jing Pan
Research Collection Lee Kong Chian School Of Business
The existing literature argues that diversified firms may be undervalued due to the information asymmetry between a firm's management and the market. Splitting the firm's divisions into multiple business components is thought to facilitate the market valuation of each component more accurately. We investigate the information hypothesis from corporate spinoffs from 1981 through 2004. We use the post-spinoff data to reconstruct the diversified firm, assess the improvement in value at the combined firm level, and relate the value improvement to the change in the level of information asymmetry. We find that, prior to the spinoff, the sample firms have significantly …
Financial Frictions, Capital Reallocation, And Aggregate Fluctuations, Jürgen Von Hagen, Haiping Zhang
Financial Frictions, Capital Reallocation, And Aggregate Fluctuations, Jürgen Von Hagen, Haiping Zhang
Research Collection School Of Economics
We address an important business cycle fact, i.e., the amplified and hump-shaped responses of output to productivity shocks, in a dynamic general equilibrium model with financial frictions. Models with financial frictions in the current literature have either the amplification mechanism or the propagation mechanism. Our model shows that the dynamic interaction of borrowing constraints, endogenous capital accumulation, and capital reallocation among agents with different productivity constitutes a mechanism through which the effects of productivity shock on aggregate output are amplified and propagated, more in line with the empirical evidence than other related models in the literature.
Hong Kong's Money: The History, Logic And Operation Of The Currency Peg, Hwee Kwan Chow
Hong Kong's Money: The History, Logic And Operation Of The Currency Peg, Hwee Kwan Chow
Research Collection School Of Economics
No abstract provided.
Estimating The Dynamics Of Mutual Fund Alphas And Betas, Harry Mamaysky, Matthew Spiegel, Hong Zhang
Estimating The Dynamics Of Mutual Fund Alphas And Betas, Harry Mamaysky, Matthew Spiegel, Hong Zhang
Research Collection Lee Kong Chian School Of Business
This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false positives (nonzero alphas) at too high a rate with either daily or monthly data. In contrast, the Kalman filter model produces them at approximately the correct rate with monthly data; (ii) In monthly data, though the OLS models fail to detect any timing among fund managers, the Kalman filter does; (iii) The alpha and …