Social and Behavioral Sciences Commons^™

Essays On Capital Structure Of Nations, Giovanni Perez

University of New Orleans Theses and Dissertations

No abstract provided.

An Analysis Of Dynamic Price Discrimination In Airlines, Diego Escobari, Nicholas G. Rupp, Joseph Meskey

Economics and Finance Faculty Publications and Presentations

Prices for the same flight change substantially depending on the time of purchase. This article uses a unique data set with round‐the‐clock posted fares to document significant within‐day price variation. Labeling time‐variation as discriminatory is difficult because the cost of an unsold airline seat changes with inventory, days before departure, and aggregate demand expectations. After controlling for these factors and aggregating hourly fares to have a framework with two consumer types, we are able to identify a component that is largely consistent with dynamic price discrimination. We find higher prices during office hours (when business travelers are likely to buy) …

Corporate Political Strategies And Return Predictability, Chansog Kim, Incheol Kim, Christos Pantzalis, Jung Chul Park

Economics and Finance Faculty Publications and Presentations

We assess whether observable corporate political strategies can serve as channels of value relevant political information flow into stock prices and form the basis for profitable return predictability strategies. We document that returns of politically connected firms’ stocks lead those of their non-connected peers, suggesting that information shocks associated with new policies and other political developments become evident first in the stock prices of firms that pursue political strategies and then, with delay, in those of similar non-connected firms.

International Risk Sharing In Overlapping Generations Models, James Staveley-O'Carroll, Olena M. Staveley-O'Carroll

Economics Department Working Papers

We present a solution to the Backus-Smith puzzle that, instead of relying on extreme parameter values or complex modeling assumptions, simply switches the framework from infinitely lived agents to overlapping generations. Young agents face non-diversifiable wage risk that leads to a low degree of risk sharing within each country. Subsequently, international price movements are not sufficient to achieve the high consumption-real exchange rate correlation produced in standard infinitely lived agent DSGE models.

Government Size And Openness: Evidence From The Commodity Boom In Latin America, Andre Vianna, Andre V. Mollick

Economics and Finance Faculty Publications and Presentations

Does government size increase to compensate for the volatility that arises from openness? We evaluate this compensation hypothesis by focusing on Latin America, whose economic growth in the 2000s has been often attributed to the commodity boom. Panel data regressions show that during the 2003-2010 commodity boom terms of trade volatility has positive effects on government size compared to the earlier 1990-2002 period. This key finding supports the compensation hypothesis, a result robust to dynamic panels allowing for reverse causation from government size to the real economy. Policy implications include diversification of the production structure and strengthening of regulatory framework.

The Impact Of Crime And Other Economic Forces On Mexico's Foreign Direct Investment Inflows, Rene Cabral, Andre V. Mollick, Eduardo Saucedo

Economics and Finance Faculty Publications and Presentations

This paper examines the effect of different crimes on Foreign Direct Investment (FDI) inflows into the 32 Mexican states. Using a state-quarter panel data for the period 2005 to 2015, we estimate alternative models of FDI, with fixed effects throughout a flexible lag-lengths methodology and System Generalized Method of Moments (SGMM) models in order to identify the determinants of FDI inflows into the country. The dependent variable in our model is the annual inflow of FDI and the independent variables are state level indicators (real wages and electricity consumption), and macroeconomic forces (the real exchange rate and interest rate). We …

Likely Trajectory Of Fed Policy Far From Settled, Thomas Lam, David Fernandez

Research Collection Lee Kong Chian School Of Business

Markets seem to be assuming an almost pre-set path of Fed policy normalization in 2019, including hiking rates and shrinking the balance sheet. In contrast, we see many uncertainties ahead.

Executive Overconfidence And Securities Class Actions, Suman Banerjee, Mark Humphery-Jenner, Vikram Nanda, T. Mandy Tham

Research Collection Lee Kong Chian School Of Business

Overconfident CEOs/senior executives tend to have excessively positive views of their own skills and their company’s future performance. We hypothesize that overconfident managers are more likely to engage in reckless or intentional actions/disclosures that give rise to securities class actions (SCAs). Empirical evidence is supportive: Overconfident CEOs/senior executives increase SCA likelihood, though litigation risk is ameliorated through improved governance, such as following the Sarbanes–Oxley Act of 2002. Post-SCA, companies are less likely to hire an overconfident CEO. Following an SCA, overconfident CEOs appear to moderate behavior and to reduce their litigation risk.

Economic Base Analysis Of The City Of Commerce, Texas With Relation To Hunt County And Texas, Rebekah Cooper

Honors Theses

No abstract provided.

Price Discrimination And Focal Points For Tacit Collusion: Evidence From The Airline Industry, Diego Escobari, Nicholas G. Rupp, Joseph Meskey

Economics and Finance Faculty Publications and Presentations

We use unique data sets with round-the-clock posted fares and a regression discontinuity design to identify price discrimination in advance-purchase discounts. Price discrimination increases fares by 7.6% at 14 days to departure, and by 14% at 7 days to departure. While competition reduces price discrimination, it is unaffected by product variety for a multiproduct monopolist. The results show that the arbitrary thresholds of 7 and 14 days-in-advance serve as focal points for tacit collusion and to implement price discrimination in competitive markets. For round-trip tickets price discrimination depends on the days-in-advance for both the outbound and inbound flights.

Is Public Transit's 'Green' Reputation Deserved?, Justin Beaudoin

PSU Transportation Seminars

While public transit has a reputation as a potential means to ameliorate the adverse environmental effects of automobile travel, there have been very few empirical studies of the marginal effect of transit supply on air quality. We explore whether any of the substantial improvement in air quality observed in the U.S. from 1991 to 2011 can be attributed to increased public transit supply by developing an equilibrium model of transit and automobile travel volumes as a function of the level of transit supplied. We then empirically analyze the effects of the level of transit supply on observed ambient pollution levels …

Partisan Conflict And Stock Price, Dashan Huang, Wang Liyao

Research Collection Lee Kong Chian School Of Business

Partisan conflict has been one dominant theme in U.S. politics in recent years. By using the textual index of Azzimonti (2018), this paper shows that partisan conflict positively predicts market returns, controlling for economic predictors and proxies for uncertainty, disagreement, geopolitical risk, and political sentiment. A one standard-deviation increase in partisan conflict is associated with a 0.58% increase in next month market return. The forecasting power concentrates in periods when the president is from the Republican Party or the majority of House is Republicans. Partisan conflict is positively related to downside risk, and makes investors more conservative when its value …

An Examination Of The Stock Market’S Effect On Economic Inequality, Nicholas J. Golina

Undergraduate Economic Review

The literature on economic inequality has shown that stock markets can negatively impact aggregate demand because it indicates a higher concentration of wealth in the hands of the top 10% as opposed to the middle class. The stock market could be one of the factors leading to increased inequality. This study contributes to the literature by analyzing stock markets in OECD countries. Building on Tsountas et al (2015), the results showed that stock markets can have a positive impact on inequality, but with weak economic significance. It is recommended that policymakers should focus on factors that more greatly impact inequality.

Separating Between Unobserved Consumer Types: Evidence From Airlines, Diego Escobari, Manuel A. Hernandez

Economics and Finance Faculty Publications and Presentations

We propose an alternative approach to identify unobserved consumer types and assess whether firms price discriminate. Unlike other screening schemes that rely on quantity discounts or product differentiation, in our finite mixture structure individuals have unit demands and the product is homogeneous. We implement the model using an original U.S. airlines data set. The results support the existence of two demand types. The high-type “business” traveler is less price sensitive, has a higher valuation, and pays a higher price than the low type “tourist.” The proportion of high types also increases as the departure date nears. (JEL C23, L93, …

Impact Of Airplane Crashes On Firm's Credit Risk Under The Creditgrades Model, Alexandros Bougias

Undergraduate Economic Review

The paper examines the impact of airplane accidents with 40 or more fatalities, on airline's firm credit risk. The sample contains 20 airplane crashes for the period 2000-2017. The analysis proposes the CreditGrades model introduced by Finger et al. (2002) , which is an extension of the first passage time model of Black and Cox (1976). The study concludes that airplane accidents lead to a statistically significant increase in airline's Probability of Default. The results are both significant and robust under the t-Test and the non-parametric Wilcoxon Signed-rank test.

Is Uber A Substitute Or Complement For Public Transit?, Jonathan D. Hall, Craig Palsson, Joseph Price

Economics and Finance Faculty Publications

How Uber affects public transit ridership is a relevant policy question facing cities worldwide. Theoretically, Uber’s effect on transit is ambiguous: while Uber is an alternative mode of travel, it can also increase the reach and flexibility of public transit’s fixed-route, fixed-schedule service. We estimate the effect of Uber on public transit ridership using a difference-in-differences design that exploits variation across U.S. metropolitan areas in both the intensity of Uber penetration and the timing of Uber entry. We find that Uber is a complement for the average transit agency, increasing ridership by five percent after two years. This average effect …

Natural Disaster Risk And Corporate Leverage, Ahmed Elnahas, Dongnyoung Kim, Incheol Kim

Economics and Finance Faculty Publications and Presentations

Firms located in more disaster-prone counties adopt more conservative leverage policies than those in less disaster-prone counties. Compared to peers in the least disastrous areas, firms in the most disastrous areas are less levered by 3.6 percentage points, equivalent of foregoing $13.47 million. We argue that this systematic difference in leverage is attributed to elevated operating disruption, increased cost of capital, and tightened financial flexibility. Our findings indicate that firms incorporate natural disaster risk in financing decision, which is consistent with the trade-off theory of capital structure.

Gender Performativity And Hegemonic Masculinity In Investment Management, Corina Sheerin, Prof. Margaret Linehan

Dept of Applied Social Science

Purpose

Through an examination of the everyday organisational and social practices, this paper aims to consider gender performativity and hegemonic masculinity within front office investment management. At the core of this research is the need to understand the interactions between gender, power and patriarchy.

Design/methodology/approach

An interpretivist philosophical stance underpins the study. A theory-building approach using 19 semi-structured interviews with investment management employees based in Ireland was undertaken.

Findings

The findings highlight a sector in which gender is performed in line with sectoral expectations, which place men in positions of dominance with hegemonic masculinity inherent. The organisational structures and daily …

Nonlinearities In The Real Exchange Rates: New Evidence From Developed And Developing Countries, Yamin S. Ahmad, Ming Chien Lo, Olena M. Staveley-O'Carroll

Economics Department Working Papers

This paper investigates nonlinearities in the dynamics of real exchange rates. We use Monte Carlo simulations to establish the size properties of the Teräsvirta-Anderson (1992) and the Teräsvirta (1994) test, when the dynamics of the real exchange rate is influenced by an exogenous process. In addition, we examine the modification proposed by Ahmad, Lo and Mykhaylova (2013; Journal of International Economics) to show that the modified nonlinearity test performs much better than the original in both Monte Carlo exercises and in the actual data on 1431 bilateral real exchange rate series. Finally, we investigate the dynamics of the real exchange …

Information Technology System Failure And Value Of Airlines: A Case Study Of Airlines In 2016, Jayendra Gokhale

Publications

Technology is a critical component of a firm’s operations. Technology failures can cause widespread problems in airlines. These failures cause disruptions in flight schedules, cause passengers to be stranded at airports and also increase airline operating costs. The objective of this study is to measure an effect of information technology failures on the firm value of passenger airline companies during the year 2016. In that year, there were cases involving delays and cancellations associated with JetBlue, Southwest, Delta, American, and Virgin America that received significant media coverage. Using the event study methodology, this study finds that the intensity of failures …

Could An Alternative Policy Design Have Produced A Stronger Mortgage Modification Outcome For Hamp?, Sean Macdonald

Publications and Research

This paper conducts a study of the relative effectiveness of the Home Affordable Modification Program (HAMP) - the primary federal mortgage loan modification program - from early 2009 through 2016. It evaluates U.S. Treasury Department and other data sources, and reviews the recent literature on the relative success of the program. The analysis suggests that HAMP’s success rate in modifying mortgage loans was likely constrained by its voluntary design, a structure that enabled lenders and servicers to prioritize the interests of investors in assessing the risks of modification. It then considers the economic issues surrounding the foreclosure issue and presents …

Debt Market Illiquidity And Correlated Default Risk, Siamak Javadi, Mohsen Mollagholamali

Economics and Finance Faculty Publications and Presentations

We empirically test the theoretical prediction of the impact of debt market liquidity on correlated default risk. Confirming the theory, our results indicate that the lower debt market liquidity, leads to an economically significant increase in the correlated default risk. Also consistent with theory, we show that this effect is more pronounced for short-term debt.

Time-Series And Cross-Section Variation Of Bond Risk Premia, Niloofar Sahebalzamany

Dissertations, Theses, and Capstone Projects

A long-term bond that is sold before its maturity has an uncertain excess return over the certain return from a shorter-term risk-free bond maturing at the time of sale. There is strong evidence that this excess return is predictable and that the predicted excess return, or risk premium, is time varying. Cochrane and Piazzesi (2005) use five forward rates to predict excess returns on one to five-year maturity bonds. I extend and improve their approach in multiple aspects. Firstly, the data set for the US market is expanded in two dimensions: cross-section and time series. In the cross-section dimension, one- …

Labor Law And Innovation Revisited, Bill B. Francis, Incheol Kim, Bin Wang, Zhengyi Zhang

Economics and Finance Faculty Publications and Presentations

This paper examines the impact of changes in job security on corporate innovation in 20 non-U.S. OECD countries. Using a difference-in-differences approach, we provide firm-level evidence that the enhancement of labor protection has a negative impact on innovation. We then discuss possible channels and find that employee-friendly labor reforms induce inventor shirking and a distortion in labor flow. Further investigation reveals that the negative relation is more pronounced in 1) firms that heavily rely on external financing, 2) firms that have high R&D intensity, 3) manufacturing industries, and 4) civil-law countries. Our micro-level evidence indicates that enhanced employment protection impedes …

Does Foreign Direct Investment Lead To Industrial Agglomeration?, Wen-Tai Hsu, Yi Lu, Xuan Luo, Lianming Zhu

Research Collection School Of Economics

This paper studies the effect of foreign direct investment (FDI) on industrial agglomeration. Using the differential effects of FDI deregulation in 2002 in China on different industries, we find that FDI actually affects industrial agglomeration negatively. This result is somewhat counter-intuitive, as the conventional wisdom tends to suggest that FDI attracts domestic firms to cluster for various agglomeration benefits, in particular technology spillovers. To reconcile our empirical findings and the conventional wisdom, we develop a theory of FDI and agglomeration based on two counter-veiling forces. Technology diffusion from FDI attracts domestic firms to cluster, but fiercer competition drives firms away. …

A Non-Parametric Approach To Testing The Axioms Of The Shapley Value With Limited Data, Victor H. Aguiar, Roland Pongou, Jean-Baptiste Tondji

Economics and Finance Faculty Publications and Presentations

The unique properties of the Shapley value–efficiency, equal treatment of identical input factors, and marginality–have made it an appealing solution concept in various classes of problems. It is however recognized that the pay schemes utilized in many real-life situations generally depart from this value. We propose a non-parametric approach to testing the empirical content of this concept with limited datasets. We introduce the Shapley distance, which, for a fixed monotone transferable-utility game, measures the distance of an arbitrary pay profile to the Shapley pay profile, and show that it is additively decomposable into the violations of the classical …

Warrants And Their Underlying Stocks: Microstructure Evidence From An Emerging Market, Charlie Charoenwong, David K. Ding, Nuttawat Visaltanachoti

Research Collection Lee Kong Chian School Of Business

The Stock Exchange of Thailand provides an ideal platform for comparing the trading characteristics of warrants and their underlying stocks since both of them trade in the same market under identical trading rules. If their patterns diverge significantly, it may be possible for an astute trader to devise profitable arbitrage strategies during the life of the warrants. We find that both their patterns are downward-sloping for spreads, U-shaped for flow toxicity, volatility, depth concentration, and trading volume; and upward-sloping for depth and market order flow ratio. This implies that trading under identical market structures leads to similar trading characteristics. We …

Recent Developments In Indonesia's Macro-Economy And Trade, Q1-2018, Febrio Kacaribu

Economics and Finance in Indonesia

This paper discusses Indonesia's macroeconomic and trade development in the first quarter of 2018. The macroeconomic data shows that the industrial growth was inhibited by regulatory regime inconsistency, while consumption growth still lagged overall GDP growth, and investment growth tended to rise. The trade data shows that the non-oil-and-gas commodities dominated its export, although the commodities terms-of-trade declined. Indonesia's imports were mostly used as raw and auxiliary materials for the input of domestic production. The data also reveals that the larger the firms, the stronger tendency that they have comparative advantage in capital-intensive commodities, and vice versa.

Does Manufacturing Sophistication Lead To Higher Demand For Vocational Workers? Evidence From Indonesia, Padang Wicaksono, Lionel Priyadi

Economics and Finance in Indonesia

Indonesia post-crisis manufacturing growth has been dominated by technologically sophisticated industry. Hypothetically, this development would increase the demand for skilled and more specialized workers like vocational school graduates. However, statistical evidences show that manufacturing sophistication stimulated by integration with the Global Production Network increase demand for vocational as well as general high school graduates. Moreover, higher demand does not necessarily result in sustainable career prospect, as many vocational graduates still have limited opportunity to improve their skills while climbing the seniority ladder possibly caused by shifting Global Value Chain from export-oriented toward domestic market-oriented that affect the industry's technological complexity.

Modification Of The Regulatory Impact Assessment On Indonesia's Economic Policies, Kiki Verico

Economics and Finance in Indonesia

This paper modifies the Regulatory Impact Assessment (RIA) method in Indonesia's trade, investment, and industrial incentive policies. First, it analyses the Indonesian Bilateral Trade Agreements of Indonesia - Japan Economic Partnership Agreement (IJEPA) and Indonesia - Pakistan Preferential Trade Agreement (IP-PTA) This paper found if the trading partner has GNI per capita higher than Indonesia's then the expected outcome was the increasing FDI inflows and if its GNI per capita lower therefore the most top foreseeable result was the rising net trade balance of Indonesia. Second, it analyses industrial sector incentive analysis and found that firms prefer supply-side than fiscal …