Libya And Resolution 1973: The Law Of Politics,
2012
Graduate Institute of International and Development Studies
Libya And Resolution 1973: The Law Of Politics, Monica Naime
Journal of Strategic Security
This paper analyzes recent developments in the intervention in Libya from the perspective of international relations and international law. The evidence suggests that states decided to intervene in Libya prior to sanction from the United Nations Security Council's Resolution 1973. The implication from the Libyan example is that politics was the impetus for the formulation and implementation of law, and not the other way around. Law "happens" in a context, and this context is shaped and bounded by international politics. This article is intended to invigorate further research into how international politics influences the creation, interpretation, and application of international …
On-Line Portfolio Selection With Moving Average Reversion,
2012
Nanyang Technological University
On-Line Portfolio Selection With Moving Average Reversion, Bin Li, Steven C. H. Hoi
Research Collection School Of Computing and Information Systems
On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidences show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the existing mean reversion strategies are shown to achieve good empirical performance on many real datasets, they often make the single-period mean reversion assumption, which is not always satisfied in some real datasets, leading to poor performance when the assumption does not hold. To overcome the limitation, this article proposes a multiple-period mean reversion, or so-called Moving Average Reversion (MAR), and a …
The Impact Of The Arab Spring On Islamist Strategies,
2012
Syracuse University
The Impact Of The Arab Spring On Islamist Strategies, Ioana E. Matesan
Journal of Strategic Security
The revolutions in Tunisia and Egypt created a contagion effect that inspired a series of uprisings by sending two signals: first, that even entrenched authoritarian regimes are vulnerable; and second, that nonviolent tactics can be effective in bringing about dramatic political changes. Subsequent developments, especially in Libya and Syria, convoluted these messages. Nonetheless, the political openings and the electoral victory of Islamists in Egypt and Tunisia continue to send the signal to many Islamist opposition groups that nonviolent means and participation in politics can be effective ways to produce political change. The chance of gaining power through electoral means can …
Streaks In Earnings Surprises And The Cross-Section Of Stock Returns,
2012
Singapore Management University
Streaks In Earnings Surprises And The Cross-Section Of Stock Returns, Roger Loh, Mitch Warachka
Research Collection Lee Kong Chian School Of Business
The gambler's fallacy (Rabin, 2002) predicts that trends bias investor expectations. Consistent with this prediction, we find that investors underreact to streaks of consecutive earnings surprises with the same sign. When the most recent earnings surprise extends a streak, post-earnings announcement drift is strong and significant. In contrast, the drift is negligible following thetermination of a streak. Indeed, streaks explain about half of the post-earnings announcement drift in our sample. Our results are robust to more general definitions of trends than streaks and a battery of control variables including the magnitude ofearnings surprises and their autocorrelation. Overall, post-earnings announcement drift …
Momentum, Nonlinear Price Discovery And Asymmetric Spillover: Sovereign Credit Risk And Equity Markets Of Emerging Countries And,
2012
University of New Orleans
Momentum, Nonlinear Price Discovery And Asymmetric Spillover: Sovereign Credit Risk And Equity Markets Of Emerging Countries And, Geoffrey M. Ngene
LSU New Orleans Theses and Dissertations
In Chapter 1, I hypothesize that there is a differential response by agents to changes in sovereign credit or default risk in both quiet (low default risk) and turbulent markets (high default risk). These market conditions create two different states of the market (world) or regimes. Investors and policy makers respond differently in the two regimes but the response in the turbulent market condition is amplified as policy makers attempt to smoothen the fluctuations and uncertainty while investors rebalance their portfolios in an attempt to hedge against downside risk of wealth loss. In the two regimes, the short run and …
Examining Market Response Following Hurricane Landfall: Does The U.S. Stock Market React Efficiently To Hurricanes?,
2012
Macalester College
Examining Market Response Following Hurricane Landfall: Does The U.S. Stock Market React Efficiently To Hurricanes?, Evan R. Hewitt
Economics Honors Projects
This paper examines market efficiency surrounding hurricanes in the immediate post-landfall period. Using hypotheses derived from distinctions between the efficient market hypothesis and the adaptive market hypothesis, it runs event studies on a sample of gulf-exposed property and casualty insurers for hurricanes that made landfall domestically in the 2004 and 2005 hurricane seasons. Testing these post-landfall inefficiency measurements shows that a statistically significant window of inefficiency exists immediately following hurricane landfall. This confirms the prediction of the adaptive market hypothesis, and as a result shows that hurricanes create opportunities for abnormal risk-adjusted returns in this market.
How Does The U.S. Stock Market Affect The Stocks Of Chinese State-Owned Companies?,
2012
Macalester College
How Does The U.S. Stock Market Affect The Stocks Of Chinese State-Owned Companies?, Yan Huang
Economics Honors Projects
This paper examines how the U.S. stock market affects the Chinese stock market, with a focus on Chinese state-owned companies, and compares the impacts on different industries and time periods. Results show that the U.S. stock market affects non-state-owned companies and state-owned companies with international business, but not state-owned companies without international business. The correlations between two markets are stronger in industries with lower percentages of state-owned companies. The impacts the U.S. stock market has on the Chinese stock market are increasing in time and in longer term.
Pamr: Passive-Aggressive Mean Reversion Strategy For Portfolio Selection,
2012
Nanyang Technological University
Pamr: Passive-Aggressive Mean Reversion Strategy For Portfolio Selection, Bin Li, Peilin Zhao, Steven C. H. Hoi, Vivekanand Gopalkrishnan
Research Collection School Of Computing and Information Systems
This project proposes a novel online portfolio selection strategy named ``Passive Aggressive Mean Reversion" (PAMR). Unlike traditional trend following approaches, the proposed approach relies upon the mean reversion relation of financial markets. Equipped with online passive aggressive learning technique from machine learning, the proposed portfolio selection strategy can effectively exploit the mean reversion property of markets. By analyzing PAMR's update scheme, we find that it nicely trades off between portfolio return and volatility risk and reflects the mean reversion trading principle. We also present several variants of PAMR algorithm, including a mixture algorithm which mixes PAMR and other strategies. We …
Valuation Of Financial Derivatives Subject To Liquidity Risk,
2012
University of Nevada, Las Vegas
Valuation Of Financial Derivatives Subject To Liquidity Risk, Yanan Jiang
UNLV Theses, Dissertations, Professional Papers, and Capstones
Valuation of financial derivatives subject to liquidity risk remains an open problem in finance. This dissertation focuses on the valuation of European-style call option under limited market liquidity through the dynamic management of a portfolio of assets. We investigate liquidity from three perspectives: market breadth, depth, and immediacy. We present a general framework of valuation based on the optimal realization of a performance index relative to the set of all feasible portfolio trajectories. Numerical examples are then presented and analyzed that show option price increases as the market transitions from liquid to less liquid state. Furthermore, buying and selling activities, …
F.A.C.E.S. (Faculty Academic Community Education Showcase): Professional Growth Experiences In A Career University,
2012
Johnson & Wales University - Providence
F.A.C.E.S. (Faculty Academic Community Education Showcase): Professional Growth Experiences In A Career University, Paul J. Colbert, Ph.D.
MBA Faculty Conference Papers & Journal Articles
Institutes of higher education exist for the purpose of developing, fostering, nurturing, and stimulating the intellectual growth and development of students. The core values of a college education provide students conceptual and practical educational opportunities that focus on improving their skills and knowledge. These skills and knowledge translate into purposeful, real-life learning experiences. However, in the academic community, learning is not restricted to students. Faculty, too, must be supported and provided opportunities for personal and professional growth and development. Although professional development is not a novel concept in the education profession, schools often take up the gauntlet, but fall short …
Effect Of Corporate Venture Capitalism On The Post-Ipo Performance Of Companies,
2012
University of Massachusetts Boston
Effect Of Corporate Venture Capitalism On The Post-Ipo Performance Of Companies, Devansh Bajaj
College of Management Honors Theses
There is substantial evidence that Corporate Venture Capitalists (CVCs) backing provides value to companies. This study aims to find what the benefits provided by CVCs are to public companies after they have gone through their initial public offerings (IPOs) and have begun trading on the stock market. Matched by CVC backing, Tobin q, leverage ratio, research and development (R&D) ratio, size of market capitalization, and the sector in which the firm operates, over a given period of time, this study explores whether or not CVCs add value to companies. Additionally, this study analyzes the success companies backed by CVCs. The …
Cover & Front Matter,
2012
University of South Florida
Ten Years Of Gwot, The Failure Of Democratization And The Fallacy Of “Ungoverned Spaces”,
2012
Kansas State University
Ten Years Of Gwot, The Failure Of Democratization And The Fallacy Of “Ungoverned Spaces”, David P. Oakley, Patrick Proctor
Journal of Strategic Security
October 7, 2011, marked a decade since the United States invaded Afghanistan and initiated the Global War on Terrorism (GWOT). While most ten-year anniversary gifts involve aluminum, tin, or diamonds, the greatest gift U.S. policymakers can present American citizens is a reconsideration of the logic that guides America's counterterrorism strategy. Although the United States has successfully averted large-scale domestic terrorist attacks, its inability to grasp the nature of the enemy has cost it dearly in wasted resources and, more importantly, lost lives. Two of the most consistent and glaring policy flaws revolve around the concepts of filling "ungoverned spaces" and …
Deterring And Dissuading Nuclear Terrorism,
2012
ANSER
Deterring And Dissuading Nuclear Terrorism, John J. Klein
Journal of Strategic Security
While nuclear deterrence theory may be well-suited to dealing with nuclear-armed states, its suitability for deterring nuclear terrorism has frequently been questioned since 9/11. While terrorist organizations do not necessarily act uniformly or according to the same underlying beliefs, many of the most aggressive organizations are motivated by an ideology that embraces martyrdom and an apocalyptic vision.1 This ideology may be based on religion or a desire to overthrow a government. Consequently, terrorists motivated by ideology who intend to use a stolen or improvised nuclear device against the United States or its interests may not care about the resulting military …
Policy Intervention In Fata: Why Discourse Matters,
2012
Department of Defence & Strategic Studies,Quaid-i-Azam University, Islamabad, Pakistan
Policy Intervention In Fata: Why Discourse Matters, Nazya Fiaz Dr.
Journal of Strategic Security
Despite years of wide-scale counterterrorism measures in Pakistan's FATA (Federally Administered Tribal Areas), the injection of substantial funds, and the "close" collaboration between the United States and Pakistan, the ugly truth is that the extremism and militancy in FATA continues to recruit members. Moreover, there is little indication that the killing of Usama bin Ladin will have any significant effect on reducing support for militancy. While taking stock of these realities, this article will not seek to rehash the many successes and failures of the counterterrorist operations in FATA. Instead, its purpose will be to argue that while the causes …
A Systems-Based Approach To Intelligence Reform,
2012
Utica College
A Systems-Based Approach To Intelligence Reform, Austen Givens
Journal of Strategic Security
The terrorist attacks of September 11, 2001 prompted the most comprehensive changes to the U.S. Intelligence Community (IC) since its creation via the National Security Act of 1947. Recent structural and organizational reforms, such as efforts to enhance information sharing and recruit speakers of hard-target languages, have also triggered new challenges to successful transformation. In light of the systemic problems facing the IC, this paper argues that systems engineering, a discipline increasingly useful in organizational change, offers a more efficient, holistic approach to the intelligence reform process than the status quo. Systems engineering views the IC as an integrated and …
A Utility Based Approach To Energy Hedging,
2012
Technological University Dublin
A Utility Based Approach To Energy Hedging, Jim Hanly, John Cotter
Articles
A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses this issue by estimating and applying energy market based risk aversion to commonly applied utility functions including log, exponential and quadratic, and we incorporate these in our hedging frameworks. We find significant differences in the optimal hedge strategies based on the utility function chosen.
Hedge Funds And Analyst Conflict Of Interest,
2012
Singapore Management University
Hedge Funds And Analyst Conflict Of Interest, Sung Gon Chung, Melvyn Teo
Research Collection School Of Accountancy
Are sell-side analysts reluctant to go against the investment views of their hedge fund clients? We show that analysts tend to upgrade stocks recently bought and downgrade stocks recently sold by hedge funds. Relative to other buy and strong buy recommendations, similar recommendations on stocks predominantly held by hedge funds parlay into poorer three-month and six-month stock returns. Hedge funds concurrently offload their stock holdings when analysts issue flattering reports. In line with an agency based explanation, our results are more pronounced for important brokerage clients such as high dollar turnover hedge funds and hedge funds who are prime brokerage …
An Improved Test For Statistical Arbitrage,
2012
Cornell University
An Improved Test For Statistical Arbitrage, Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka
Research Collection Lee Kong Chian School Of Business
We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies whose probability of a loss declines to zero most rapidly. These strategies are preferred by investors with finite horizons or limited capital. After controlling for market frictions and examining convergence rates to arbitrage, we find that momentum and value strategies offer the most desirable trading opportunities.
Hedging Effectiveness Under Conditions Of Asymmetry,
2012
Technological University Dublin
Hedging Effectiveness Under Conditions Of Asymmetry, Jim Hanly, John Cotter
Articles
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics, for example, Value at Risk, to compare the hedging effectiveness of short and long hedgers. Comparisons are applied to a number of hedging strategies including OLS, and both symmetric and asymmetric GARCH models. We apply our analysis to a dataset consisting of S&P500 index cash and futures containing symmetric and asymmetric return distributions chosen ex-post. Our findings show that asymmetry reduces out-of-sample hedging performance and that significant differences occur in hedging performance between short and long hedgers.
