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Information Loss In Volatility Measurement With Flat Price Trading, Peter C. B. PHILLIPS, Jun YU 2023 Singapore Management University

Information Loss In Volatility Measurement With Flat Price Trading, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A model of financial asset price determination is proposed that incorporates flat trading features into an efficient price process. The model involves the superposition of a Brownian semimartingale process for the effcient price and a Bernoulli process that determines the extent of price trading. The approach is related to sticky price modeling and the Calvo pricing mechanism in macroeconomic dynamics. A limit theory for the conventional realized volatility (RV) measure of integrated volatility is developed. The results show that RV is still consistent but has an inflated asymptotic variance that depends on the probability of flat trading. Estimated quarticity is …


The Influences Of The Public Health Care System And Education System On The Economic Growth Of Swaziland, Grace Greer 2023 University of Arkansas, Fayetteville

The Influences Of The Public Health Care System And Education System On The Economic Growth Of Swaziland, Grace Greer

International and Global Studies Undergraduate Honors Theses

The Kingdom of Eswatini, also known as Swaziland, has one of the youngest populations in the world with over 70% of citizens being under the age of 18 years old. This creates a substantial opportunity for economic, social, and educational growth in a country previously plagued with diseases such as HIV/AIDS, poor health care infrastructure cutting off thousands from basic care, and an educational system with a very low attendance rate and an even lower graduation rate. By evaluating the root causes of such issues dating back to the colonial era there is an opportunity to reprioritize health care and …


Bubble Testing Under Polynomial Trends, Xiaohu WANG, Jun YU 2023 Singapore Management University

Bubble Testing Under Polynomial Trends, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

This paper develops the asymptotic theory of the least squares estimator of the autoregressive (AR) coefficient in an AR(1) regression with intercept when data is generated from a polynomial trend model in different forms. It is shown that the commonly used right-tailed unit root tests tend to favor the explosive alternative. A new procedure, which implements the right-tailed unit root tests in an AR(2) regression, is proposed. It is shown that when the data generating process has a polynomial trend, the test statistics based on the new procedure cannot find evidence of explosiveness. Whereas, when the data generating process is …


Impact Of Geographical Diversification And Limited Attention On Private Equity Fund Returns, Victor ONG 2023 Singapore Management University

Impact Of Geographical Diversification And Limited Attention On Private Equity Fund Returns, Victor Ong

Research Collection Lee Kong Chian School Of Business

This article analyzes the effect of geographical diversification on global private equity (PE) fund returns. We find that there is a negative correlation between geographical diversification and PE fund returns. To establish the causality between geographical diversification and PE fund returns, we employ an instrumental variable analysis where the instrument used is the stock market capitalization of the host country where the PE fund is based. Our results apply to Net IRR, TVPI and DPI as dependent variables used to proxy for PE fund returns in the main regression model. A one standard deviation increase in geographical diversification results in …


Optimal Social Security Claiming Behavior Under Lump Sum Incentives: Theory And Evidence, Raimond Maurer, Olivia S. Mitchell, Ralph Rogalla, Tatjana Schimetschek 2023 Goethe University Frankfurt

Optimal Social Security Claiming Behavior Under Lump Sum Incentives: Theory And Evidence, Raimond Maurer, Olivia S. Mitchell, Ralph Rogalla, Tatjana Schimetschek

Wharton Pension Research Council Working Papers

People who delay claiming Social Security receive higher lifelong benefits upon retirement. We survey individuals on their willingness to delay claiming later, if they could receive a lump sum in lieu of a higher annuity payment. Using a moment-matching approach, we calibrate a lifecycle model tracking observed claiming patterns under current rules and predict optimal claiming outcomes under the lump sum approach. Our model correctly predicts that early claimers under current rules would delay claiming most when offered actuarially fair lump sums, and for lump sums worth 87% as much, claiming ages would still be higher than at present.


Older Peoples’ Willingness To Delay Social Security Claiming, Raimond Maurer, Olivia S. Mitchell 2023 Goethe University

Older Peoples’ Willingness To Delay Social Security Claiming, Raimond Maurer, Olivia S. Mitchell

Wharton Pension Research Council Working Papers

We have designed and fielded an experimental module in the 2014 HRS which seeks to measure older persons’ willingness to voluntarily defer claiming of Social Security benefits. In addition, we evaluate the stated willingness of older individuals to work longer, depending on the Social Security incentives offered to delay claiming their benefits. Our project extends previous work by analyzing the results from our HRS module and comparing findings from other data sources which included very much smaller samples of older persons. We show that half of the respondents would delay claiming if no work requirement were in place under the …


Time Discounting And Economic Decision-Making Among The Elderly, David Huffman, Raimond Maurer, Olivia S. Mitchell 2023 University of Pittsburgh

Time Discounting And Economic Decision-Making Among The Elderly, David Huffman, Raimond Maurer, Olivia S. Mitchell

Wharton Pension Research Council Working Papers

This research project evaluates the extent of heterogeneity in time discounting among elderly Americans, as well as its role in explaining older peoples’ key behaviors. We first show how older Americans evaluate simple (hypothetical) intertemporal choices in which payments now are compared with payments in the future. This adds to the literature on time horizon experiments by focusing on a nationally representative sample of persons age 70+. Using the indicators derived from this experiment, we show how differences in discounting patterns are associated with characteristics of particular importance in elderly populations, such as serious health and mental conditions. We then …


Putting The Pension Back In 401(K) Plans: Optimal Versus Default Longevity Income Annuities, Vanya Horneff, Raimond Maurer, Olivia S. Mitchell 2023 Goethe University Frankfurt

Putting The Pension Back In 401(K) Plans: Optimal Versus Default Longevity Income Annuities, Vanya Horneff, Raimond Maurer, Olivia S. Mitchell

Wharton Pension Research Council Working Papers

Most retirees take payouts from their defined contribution pensions as lump sums, but the US Treasury recently moved to encourage firms and individuals to convert some of the $15 trillion in plan balances into longevity income annuities paying lifetime benefits from age 85 onward. We evaluate the welfare implications of this reform using a calibrated lifecycle consumption and portfolio choice model embodying realistic institutional considerations. We show that defaulting a fixed fraction of workers’ 401(k) assets over a dollar threshold is a cost-effective and appealing way to enhance retirement security, enhancing welfare by up to 20% of retiree plan accruals.


Aligning Kresa Efe/Cte Course Offerings With Local Business Needs: Results Of Two Studies, W.E. Upjohn Institute for Employment Research 2023 W.E. Upjohn Institute for Employment Research

Aligning Kresa Efe/Cte Course Offerings With Local Business Needs: Results Of Two Studies, W.E. Upjohn Institute For Employment Research

Reports

No abstract provided.


Fixed And Variable Longevity Annuities In Defined Contribution Plans: Optimal Retirement Portfolios Taking Social Security Into Account, Vanya Horneff, Raimond Maurer, Olivia S. Mitchell 2023 The Wharton School, Univ. of PA

Fixed And Variable Longevity Annuities In Defined Contribution Plans: Optimal Retirement Portfolios Taking Social Security Into Account, Vanya Horneff, Raimond Maurer, Olivia S. Mitchell

Wharton Pension Research Council Working Papers

This paper investigates retirees’ optimal purchases of fixed and variable longevity income annuities using their defined contribution (DC) plan assets and given their expected Social Security benefits. As an alternative, we also evaluate using plan assets to boost Social Security benefits through delayed claiming. We determine that including deferred income annuities in DC accounts is welfare enhancing for all sex/education groups examined. We also show that providing access to well-designed variable deferred annuities with some equity exposure further enhances retiree wellbeing, compared to having access only to fixed annuities. Nevertheless, for the least educated, delaying claiming Social Security is preferred, …


Ro Khanna, Dignity In A Digital Age: Making Tech Work For All Of Us (2022), James W. Gentry 2023 University of Nebraska–Lincoln

Ro Khanna, Dignity In A Digital Age: Making Tech Work For All Of Us (2022), James W. Gentry

Markets, Globalization & Development Review

No abstract provided.


Evolving Marketization, Societal Trends, And Indicators In Chile And The Andean Region, Cristian Andres Sepulveda, Clifford J. Shultz, Mark Peterson 2023 Fort Lewis College

Evolving Marketization, Societal Trends, And Indicators In Chile And The Andean Region, Cristian Andres Sepulveda, Clifford J. Shultz, Mark Peterson

Markets, Globalization & Development Review

The effects of marketization on Chile and the broader Andean Region are profound and systemic. Key indicators reveal trends toward economic growth, improved social conditions, and sustainable development. The marketization of the Andean Region, however, is a complex and evolving process. We report on recent developments, which necessitate some reflection on trends and prognoses. In particular, while marketization has led to better education, increased social mobility, and enhanced well-being, one of the most important challenges facing countries in the region is ensuring that the benefits of marketization are shared equitably among all members of society. Priorities include further improvements in …


Complex Impacts Of Marketization And Digitalization, Deniz Atik, Nikhilesh Dholakia 2023 University of Texas Rio Grande Valley

Complex Impacts Of Marketization And Digitalization, Deniz Atik, Nikhilesh Dholakia

Markets, Globalization & Development Review

No abstract provided.


Commercialization Of Separated Human Body Parts - Unpacking Instrumentalization Approach, Arseny Shevelev, Georgy Shevelev 2023 Pace University

Commercialization Of Separated Human Body Parts - Unpacking Instrumentalization Approach, Arseny Shevelev, Georgy Shevelev

Pace International Law Review

The principle of non-commercialization, which prohibits trade in separated human body parts, has long been firmly embedded in many European legal orders and has become an integral part of them. However, many new uses for human biomaterials have now been discovered, and the need for them has reached a historical climax. This paper aims to explain the main tenets of non-commercialization theory, including such principles as human dignity and need to protect human’s health, and to show that these categories have so far been understood in a very one-sided and visceral way, and largely in contradiction to their true spirit. …


Racial Disparities In School Poverty And Spending: Examining Allocations Within And Across Districts, Robert Bifulco, Sarah Souders 2023 Syracuse University

Racial Disparities In School Poverty And Spending: Examining Allocations Within And Across Districts, Robert Bifulco, Sarah Souders

Center for Policy Research

Using recently available school-level finance data, we compare exposure to low-income classmates and average per pupil spending for black, Hispanic, and white students. Using within metropolitan area comparisons, we find that the typical black and Hispanic students attend schools with much higher proportions of low-income students than the typical white student, and that per pupil spending in the typical black and Hispanic students’ schools is higher than in the typical white student’s school. Drawing on estimates of the additional spending required to provide low-income students equal educational opportunity, we find that it is unlikely that the additional spending in schools …


Unemployment Insurance: Fix It And Fund It, Christopher J. O'Leary, David E. Balducchi, Ralph E. Smith 2023 W.E. Upjohn Insitute for Employment Research

Unemployment Insurance: Fix It And Fund It, Christopher J. O'Leary, David E. Balducchi, Ralph E. Smith

Upjohn Institute Policy Papers

During the 2020–2021 pandemic, the federal-state unemployment insurance (UI) system in the United States nearly reached the breaking point. The surge in joblessness was matched in history only by the Great Depression of the 1930s. Congress hurriedly crafted temporary pandemic benefit assistance programs to fill benefit and eligibility gaps in state-run UI programs, handing them off to capacity-starved state UI agencies that fitfully served millions of workers and employers. After years of policy neglect and contraction, state UI programs have low benefit recipiency, meager earnings replacement rates, and inadequate benefit financing. It is time for comprehensive federal UI reform legislation, …


A Taxonomy Of Non-Dictatorial Unidimensional Domains, Shurojit CHATTERJI, Huaxia ZENG 2023 Singapore Management University

A Taxonomy Of Non-Dictatorial Unidimensional Domains, Shurojit Chatterji, Huaxia Zeng

Research Collection School Of Economics

Non-dictatorial preference domains allow the design of unanimous social choice functions (henceforth, rules) that are non-dictatorial and strategy-proof. On a class of preference domains called unidimensional domains, we show that the unique seconds property characterizes all non-dictatorial domains. Subsequently, we provide an exhaustive classification of all non-dictatorial, unidimensional domains, based on a simple property of two-voter rules called invariance. The domains constituting the classification are semi-single-peaked domains and semi-hybrid domains (introduced here) which are two appropriate weakenings of single-peaked domains and shown to allow strategy-proof rules to depend on non-peak information of voters' preferences; the canonical strategy-proof rules for these …


Decentralizability Of Efficient Allocations With Heterogenous Forecasts, Shurojit CHATTERJI, Atsushi KAJII 2023 Singapore Management University

Decentralizability Of Efficient Allocations With Heterogenous Forecasts, Shurojit Chatterji, Atsushi Kajii

Research Collection School Of Economics

Do price forecasts of rational economic agents need to coincide in perfectly competitive complete markets? To address this question, we define an efficient temporary equilibrium (ETE) within the framework of a two period economy. Although an ETE allocation is intertemporally efficient and is obtained by perfect competition, it can arise without the agents forecasts being completely coordinated on a perfect foresight price. Nevertheless, it entails price forecasts delicately related with each other: we show that regardless of the number of agents, there is a one dimensional set of such Pareto efficient allocations for generic endowments.


R&D Subsidies In Permissive And Restrictive Environment: Evidence From Korea, Yumi KOH, Gea M. LEE 2023 Singapore Management University

R&D Subsidies In Permissive And Restrictive Environment: Evidence From Korea, Yumi Koh, Gea M. Lee

Research Collection School Of Economics

This paper investigates the extent to which a regulatory environment for R&D subsidies shapes the magnitude and direction of R&D subsidies set by a government and consequent innovation paths. When the WTO adopted a permissive regulatory environment, we find that the Korean government increased R&D subsidies significantly (89.21%) and selectively so for firms and industries with higher returns. Recipient firms conducted less basic research and more development research. Improvements in innovations were mostly incremental and minor. However, such changes did not persist once the WTO switched to a restrictive regulatory environment. Our findings show that the regulatory environment imposed by …


Presidential Economic Approval Rating And The Cross-Section Of Stock Returns, Zilin CHEN, Zhi DA, Dashan HUANG, Liyao WANG 2023 Singapore Management University

Presidential Economic Approval Rating And The Cross-Section Of Stock Returns, Zilin Chen, Zhi Da, Dashan Huang, Liyao Wang

Research Collection Lee Kong Chian School Of Business

We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president’s handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR beta dynamically reveals a firm’s perceived alignment to the incumbent president’s economic policies and investors seem to misprice such …


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