Self-Exciting Jumps, Learning, And Asset Pricing Implications,
2015
ESSEC Business School
Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu
Research Collection School Of Economics
The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting, and option pricing.
Integration Of Waqf And Islamic Microfiance For Poverty Reduction,
2015
Statistical, Economic and Social Research and Training Centre for Islamic Countries (SESRIC)
Integration Of Waqf And Islamic Microfiance For Poverty Reduction, Mohamed Aslam Haneef Prof., Ataul Huq Pramanik Prof., Mustafa Omar Mohamme Dr., Aliyu Dahiru Dr.
Aliyu Dahiru
This report presents the output of two-year collaboration between SESRIC and the Centre for Islamic Economics of International Islamic University of Malaysia (IIUM) on a research project that covered three OIC countries namely, Malaysia, Indonesia and Bangladesh. The research project aimed at developing an integrated Waqf-based Islamic microfinance model to optimize the use of combined resources of Waqf and Islamic microfinance institutions in OIC countries with a view to enhancing the effectiveness of IMF and Waqf institutions in addressing the socio-economic needs of the society, particularly through effective poverty alleviation programs. The report consists of four main sections. The first …
Getting The Most Out Of Your 401(K),
2015
University of Massachusetts Boston
Getting The Most Out Of Your 401(K), Emily G. Brown Jd, Jeanne Medeiros Jd
Pension Action Center Publications
Planning for your retirement is an active and ongoing endeavor. It requires a certain amount of diligence and knowledge to ensure you have an adequate amount of financial stability at retirement. In order to safeguard your economic security, it is important to know if you are getting the most out of your 401(k) retirement savings account. This factsheet provides basic information about enrolling in a 401(k) retirement savings account and important items to keep in mind once you are enrolled.
A Comment On Christofferson, Jacobs, And Ornthanalia (2012), "Dynamic Jump Intensities And Risk Premiums: Evidence From S&P 500 Returns And Options",
2015
California Polytechnic State University - San Luis Obispo
A Comment On Christofferson, Jacobs, And Ornthanalia (2012), "Dynamic Jump Intensities And Risk Premiums: Evidence From S&P 500 Returns And Options", Garland Durham, John Geweke, Pulak Ghosh
Finance
No abstract provided.
The Effects On Shareholder Wealth For Companies That Invest In Their Employees,
2015
University of Central Florida
The Effects On Shareholder Wealth For Companies That Invest In Their Employees, Alison M. Threlfall
HIM 1990-2015
Companies have been known to reduce their costs by reducing their spending on employee benefits, but in the last decade there has been an increasing interest on how these decisions affect not just employee productivity and turnover, but also overall shareholder wealth and company profitability. This thesis seeks to answer whether companies that have a greater focus on their employee welfare and satisfaction are more financially stable and profitable than their competitors. The research and analysis consists of 40 companies, 20 highly rated by their employees paired with 20 of the worst companies according to employee opinion and benefits. Each …
Framing Elite Consensus, Ideology And Theory And A Classcrits Response,
2015
University at Buffalo School of Law
Framing Elite Consensus, Ideology And Theory And A Classcrits Response, Athena D. Mutua
Journal Articles
This short paper, really a thought piece, builds upon the examination begun in the Foreword of the ClassCrits VI Symposium which sought to outline a ClassCrits critique of neoclassical economic principles. It argues that neoliberal practices, theory and ideology, built on the scaffold of neoclassical economic ideas, frame an elite consensus that makes elites feel good but which are ethically, intellectually, and structurally problematic for the social well-being of most Americans. It does so, in part, by chronicling a number of recent practices of large corporations, including for example, the practice of inversion. Again, this paper takes as its specific …
Federal Securities Fraud Litigation As A Lawmaking Partnership,
2015
University of Pennsylvania Carey Law School
Federal Securities Fraud Litigation As A Lawmaking Partnership, Jill E. Fisch
All Faculty Scholarship
In its most recent Halliburton II decision, the Supreme Court rejected an effort to overrule its prior decision in Basic Inc. v. Levinson. The Court reasoned that adherence to Basic was warranted by principles of stare decisis that operate with “special force” in the context of statutory interpretation. This Article offers an alternative justification for adhering to Basic—the collaboration between the Court and Congress that has led to the development of the private class action for federal securities fraud. The Article characterizes this collaboration as a lawmaking partnership and argues that such a partnership offers distinctive lawmaking advantages. …
2014 Fed Challenge Script: Current State Of The Economy,
2015
Gettysburg College
2014 Fed Challenge Script: Current State Of The Economy, Jieran Liu, William W. Northrop, Matthew Nadler, Owen J. Rothe, Ryan M. Williams
Gettysburg Economic Review
Good afternoon everyone and thank you for having us here today. Though the recession began in 2007 and officially ended in 2009, recovery has been painfully slow. GDP growth has been insufficient to close the output gap, there continues to be slack in the labor market and inflation has stabilized below the Federal Reserve percent target. We are not meeting our dual mandate of full employment and stable prices even 6 years after the end of the recession. Despite some signs of strengthening in the economy during the past year, we do not believe that economy is on a self-sustaining …
Does Financial Literacy Contribute To Food Security?,
2015
RAND Corporation, Santa Monica
Does Financial Literacy Contribute To Food Security?, Katherine Grace Carman, Gema Zamarro
Education Reform Faculty and Graduate Students Publications
Food insecurity, not having consistent access to adequate food for active, healthy lives for all household members is most common among low income households. However, income alone is not sufficient to explain who experiences food insecurity. This study investigates the relationship between financial literacy and food security. We find that low income households who exhibit financial literacy are less likely to experience food insecurity.
Developers' Incentives And Open-Source Software Licensing: Gpl Vs Bsd,
2015
City University of New York
Developers' Incentives And Open-Source Software Licensing: Gpl Vs Bsd, Vidya Atal, Kameshwari Shankar
Department of Economics Faculty Scholarship and Creative Works
One of the puzzling aspects of open-source software (OSS) development is its public good nature. Individual developers contribute to developing the software, but do not hold the copyright to appropriate its value. This raises questions regarding motives behind such effort. We provide an integrated model of developers' incentives to describe OSS development and compare restrictive OSS licenses that force all modifications to be kept open with non-restrictive OSS licenses that allow proprietary ownership of modified works. Different incentives govern effort provision at different stages of the software development process. We show that open-source licenses can provide socially valuable software when …
A Characterization Of Ramsey Equilibrium In A Model With Limited Borrowing,
2015
European University at St Petersburg
A Characterization Of Ramsey Equilibrium In A Model With Limited Borrowing, Kirill Borissov, Ram Dubey
Department of Economics Faculty Scholarship and Creative Works
This paper considers a one-sector economic growth model with several infinitely-lived heterogeneous households, who differ both in the discount factors as well as preferences over consumption. Unlike the extreme form of borrowing constraint observed in the classical Ramsey model, recently surveyed in Becker (2006), we allow limited borrowing by the households and prove the existence of a perfect foresight equilibrium. We also show that irrespective of production technology employed by the firms, the capital stock sequence converges to the steady state stock and from some time onward all impatient households are in the maximum borrowing state, whereas the most patient …
Financial Anxiety, Physiological Arousal, And Planning Intention,
2015
University of Georgia
Financial Anxiety, Physiological Arousal, And Planning Intention, John Grable, Wookjae Heo, Abed Rabbani
Consumer Sciences Faculty Publications
Results from this exploratory clinical study indicate that financial anxiety—holding an unhealthy attitude about one’s financial situation—and physiological arousal—the physical precursor to behavior—play important roles in shaping consumer intention to engage in future financial planning activity. Findings suggest that those who are most likely to engage the services of a financial adviser exhibit low levels of financial anxiety and moderate to high levels of physiological arousal. The least likely to seek the help of a financial adviser are those who exhibit high financial anxiety and low physiological arousal. Results support findings documented in the literature that high anxiety levels often …
Aprender De Brasil,
2015
SelectedWorks
Long-Run Consumption Risk And Asset Allocation Under Recursive Utility And Rational Inattention,
2015
The University of Hong Kong
Long-Run Consumption Risk And Asset Allocation Under Recursive Utility And Rational Inattention, Yulei Luo, Eric R. Young
Yulei Luo
We study the portfolio decision of a household with limited information-processing capacity (rational inattention or RI) in a setting with recursive utility. We find that rational inattention combined with a preference for early resolution of uncertainty could lead to a significant drop in the share of portfolios held in risky assets, even when the departure from standard expected utility with rational expectations is small. In addition, we show that the equilibrium equity premium increases with the degree of inattention because inattentive investors with recursive utility face greater long-run risk and thus require higher compensation in equilibrium. Our results are robust …
Online Appendix For "Specifying An Efficient Renewable Energy Feed-In Tariff",
2015
Economic and Social Research Institute
Online Appendix For "Specifying An Efficient Renewable Energy Feed-In Tariff", Niall Farrell
Niall Farrell
This is an online appendix for the paper "Specifying an Efficient Renewable Energy Feed-in Tariff".
East Asia, Investment, And International Law: Distinctive Or Convergent?,
2015
University of Pennsylvania Carey Law School
East Asia, Investment, And International Law: Distinctive Or Convergent?, Beth A. Simmons
All Faculty Scholarship
International investment agreements (IIAs) are the primary legal instruments designed to protect and encourage foreign direct investment world-wide. This article argues that Asia has used IIAs just as much as have other regions of the world to attract foreign direct investment, but that Asia’s pattern of agreement provisions is somewhat distinctive. States in East and Southeast Asia have tended to enter into agreements that strike a balance somewhat more favorable to host states than to foreign firms, at least when compared to the rest of the world. This may be due to high growth in the region, which tends to …
Systematic Bias And Nontransparency In Us Social Security Administration Forecasts,
2015
Harvard University
Systematic Bias And Nontransparency In Us Social Security Administration Forecasts, Konstantin Kashin, Gary King, Samir Soneji
Dartmouth Scholarship
We offer an evaluation of the Social Security Administration demographic and financial forecasts used to assess the long-term solvency of the Social Security Trust Funds. This same forecasting methodology is also used in evaluating policy proposals put forward by Congress to modify the Social Security program. Ours is the first evaluation to compare the SSA forecasts with observed truth; for example, we compare forecasts made in the 1980s, 1990s, and 2000s with outcomes that are now available. We find that Social Security Administration forecasting errors—as evaluated by how accurate the forecasts turned out to be—were approximately unbiased until 2000 and …
Is Student Loan Debt Discouraging Homeownership Among Young Adults?,
2015
Dartmouth College
Is Student Loan Debt Discouraging Homeownership Among Young Adults?, Jason N. Houle, Lawrence Berger
Dartmouth Scholarship
Amid concern that rising student loan debt has social and economic consequences for young adults, many suggest that student loan debt is leading young adults to forgo home buying. However, there is little empirical evidence on this topic. In this study, we use data from the National Longitudinal Survey of Youth 1997 to estimate associations of student loan debt with homeownership, mortgage amount, and home equity. We use a variety of methodological techniques and test several model specifications. While we find a negative association between debt and homeownership in some models, the association is substantively modest in size and is …
The Gettysburg Economic Review, Volume 8, Spring 2015,
2015
Gettysburg College
The Gettysburg Economic Review, Volume 8, Spring 2015
Gettysburg Economic Review
No abstract provided.
Nominal Gdp Targeting: A Policy Recommendation To Meet The Fed’S Dual Mandate,
2015
Gettysburg College
Nominal Gdp Targeting: A Policy Recommendation To Meet The Fed’S Dual Mandate, R. Shaw Bridges
Gettysburg Economic Review
This paper was written in early December 2014 in response to the Federal Reserve Challenge Team’s argument for a regime change in the Federal Reserve to nominal GDP targeting as the appropriate policy to return the U.S. economy to long-term sustainable economic growth. After the 2007 recession, the FOMC took extraordinary measures to minimize the collateral damage caused by bank balance sheets weighed down with mortgage-backed securities and other below-investment grade assets. The periodic “stress tests” and use of emergency lending facilities were historically unprecedented, however, the economy six years later was still growing slowly in part due to market …
