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Does Idiosyncratic Volatility Follow A Random-Walk? Evidence From U.S. Stocks, Zihan Cao, Ossama Elhadary Oct 2025

Does Idiosyncratic Volatility Follow A Random-Walk? Evidence From U.S. Stocks, Zihan Cao, Ossama Elhadary

Publications and Research

In asset pricing literature, idiosyncratic volatility (IVOL) measures the firm-specific risk that is not explained by broader market movements. In this study, I investigate whether the idiosyncratic volatility (IVOL) of individual stocks follows a random-walk. Using monthly residuals from the Fama-French three-factor model (Fama & French, 1993), I estimate IVOL for more than 11,000 U.S. stocks, and apply the Augmented Dickey-Fuller test (Said & Dickey, 1984) to determine whether IVOL behaves like a random-walk. While most stocks display random-walk behavior, the proportion varies across industries, with some sectors showing deviations from random-walk behavior. Stocks with different levels of average return …


Simulasi Kenaikan Tarif Cukai Rokok Terhadap Kinerja Ekonomi Rokok Di Indonesia, Diska Agustinningtyas, Neli Agustina Oct 2025

Simulasi Kenaikan Tarif Cukai Rokok Terhadap Kinerja Ekonomi Rokok Di Indonesia, Diska Agustinningtyas, Neli Agustina

Jurnal Ekonomi dan Pembangunan Indonesia

Production and consumption of cigarettes in Indonesia tend to increase. Increasing production has a positive impact on state revenue. However, the increasing consumption of cigarettes harms public health. The government implemented a policy of cigarette excise tax to control cigarette consumption. This study aims to analyze the impact of increasing the cigarette tax on the economic performance of the cigarette industry. Using Two-Stage Least Squares (2SLS) estimation methods shows that cigarette production is influenced by its consumption. Cigarette consumption is influenced by its price, per capita income in the previous year, and its consumption in the previous year. Cigarette’s price …


Independence Of Central Banks In Nondemocratic Regimes: Implications For Price Stability, Abeeb O. Olaniran, Umar B. Ndako Oct 2025

Independence Of Central Banks In Nondemocratic Regimes: Implications For Price Stability, Abeeb O. Olaniran, Umar B. Ndako

Bulletin of Monetary Economics and Banking

This study examines the impact of central bank independence on inflation in nondemocratic regimes, with a specific focus on the differences between Islamic and nonIslamic groups. It utilizes nonstationary heterogeneous panels to estimate both the longrun and short-run responses of inflation to central bank independence. Additionally, it employs a panel smooth transition regression model to identify any potential threshold effects in this relationship. Our findings reveal an inverse relationship between central bank independence and inflation rates for both groups in the long run. Our result suggests that non-Islamic authoritarian countries may struggle more than Islamic ones to maintain price stability …


The Social Impact Of Unconditional Cash Transfer: A Quasi-Experimental Approach, Andar Ristabet Hesda Oct 2025

The Social Impact Of Unconditional Cash Transfer: A Quasi-Experimental Approach, Andar Ristabet Hesda

Bulletin of Monetary Economics and Banking

This study investigates the social effects of the unconditional cash transfer program and analyzes the underlying mechanism. The empirical analysis indicates that those who consistently participated as program beneficiaries own greater social capital than those who did not maintain continuous enrollment in the program. One mechanism of this impact is enhanced personality, particularly in social behavior. Furthermore, the characteristic of social capital most impacted is heightened participation in communal activities. This study indicates that the program neither displaces private aid nor promotes altruism. These data contradict the claim that the targeted cash transfer program could incite societal discord by fostering …


Disclosure And The Pace Of Drug Development, Colleen Cunnningham, Florian Ederer, Charles Hodgson, Zhichun Wang Oct 2025

Disclosure And The Pace Of Drug Development, Colleen Cunnningham, Florian Ederer, Charles Hodgson, Zhichun Wang

Cowles Foundation Discussion Papers

Policies that mandate disclosure of innovative project outcomes aim to increase innovation by limiting wasteful duplicative innovation. Yet, such policies change not only the ex-post information environment but also firms' ex-ante innovation incentives. Firms may slow down their own innovation efforts in anticipation of increased disclosure by others. We examine the innovation-related impacts of the 2017 FDA Final Rule amendment, which mandates disclosure of clinical trial results for pharmaceutical firms. We show that the policy hastened and increased disclosure of results for clinical trials post-completion, but also increased the time to completion of clinical trials, the time between early phases …


Early Warning Models For Anticipating Crisis: Insights From Sri Lanka, K P Prabheesh, Vishuddhi Jayawickrema Oct 2025

Early Warning Models For Anticipating Crisis: Insights From Sri Lanka, K P Prabheesh, Vishuddhi Jayawickrema

Bulletin of Monetary Economics and Banking

The study investigates how well early warning systems can predict currency crises in Sri Lanka, with special attention given to deviations in credit and business cycles as potential indicators. The research incorporates domestic and international factors, as well as credit and business cycle indicators, to anticipate currency crises. It uses multiple approaches such as exchange rate pressure index for crisis identification, signalling approach and logit regression for examining the predictive capacity of the indicators. Using quarterly data from 1997 to 2022, the study identifies seven crisis events in the country. Our empirical findings show that before the currency crises, credit …


Testing Fractional Inflation Persistence In The West African Monetary Zone, Afees A. Salisu, Nuruddeen Usman, Godday Uwawunkonye Ebuh Oct 2025

Testing Fractional Inflation Persistence In The West African Monetary Zone, Afees A. Salisu, Nuruddeen Usman, Godday Uwawunkonye Ebuh

Bulletin of Monetary Economics and Banking

Understanding inflation persistence is of utmost significance for monetary policymakers in an era of heightened global economic interdependence and increased susceptibility to external shocks. Thus, this study examines the dynamics of inflation within the West African Monetary Zone (WAMZ), employing both conventional and innovative econometric methods, notably Fractional integration and Fractionally Cointegrated Vector AutoRegressive (FCVAR) models. Our analysis reveals a compelling paradox in the persistence of inflation. Conventional methodologies suggest a robust inertia with high persistence levels nearing unity. Conversely, Fractional Integration paints a more intricate portrait, indicating a dynamic, less persistent behavior with persistence values notably below 0.5. Crucially, …


The Reciprocity Of Misfortune: The Little Tradition Of Disasters In The Philippines, Greg Bankoff, Bianca Angelien Aban Claveria, David Lozada Iii, Camille L. Silva Oct 2025

The Reciprocity Of Misfortune: The Little Tradition Of Disasters In The Philippines, Greg Bankoff, Bianca Angelien Aban Claveria, David Lozada Iii, Camille L. Silva

History Department Faculty Publications

Just as there is a great and little tradition in religion and civilization, there is a great and little tradition in disaster. This article explores the origins of community resilience in rural areas of the Philippines based on local reciprocity and cooperation and how ­ these customary practices form the basis of national disaster risk-­reduction policies. The endless strug­gle to feed and shelter a family and contend with repeated hazards, whether natu­ral or human-­induced, promotes collective action. There is a need to cooperate with neighbors, a web of dyadic and community relationships born out of necessity that constitutes a “reciprocity …


Teaching Inquiry: A Guiding Template Fosters Critical Thinking, Barbara D. O'Donnell, Abigail C. Schwent Oct 2025

Teaching Inquiry: A Guiding Template Fosters Critical Thinking, Barbara D. O'Donnell, Abigail C. Schwent

The Councilor: A National Journal of the Social Studies

This article provides a supportive way to address the marginalization of social studies by teaching inquiry through the use of a template. Inquiry based learning encourages students to make real-world connections by engaging in problem solving and exploration through research. It fosters higher level skills like critical thinking, evaluation, and synthesis of knowledge through experiential learning (Bell, Urhahne, Schanze and Ploetzner 2009). Using inquiry to investigate social studies topics encourages the use of sources from diverse perspectives to understand the complete picture of the event being researched. Teaching social studies through inquiry is a daunting task due to multiple obstacles …


Do Older Americans Work More When Their Housing Wealth Declines?, Brian J. Asquith Oct 2025

Do Older Americans Work More When Their Housing Wealth Declines?, Brian J. Asquith

Upjohn Institute Policy and Research Briefs

No abstract provided.


The Impact Of A Vocational Training ‘Plus’ Programme On Employment And Income, Abu S. Shonchoy, Tomoki Fujii, Selim. Raihan Oct 2025

The Impact Of A Vocational Training ‘Plus’ Programme On Employment And Income, Abu S. Shonchoy, Tomoki Fujii, Selim. Raihan

Research Collection School Of Economics

Following a Randomised Controlled Trial in Northern Bangladesh, this study explores the barriers to rural youth migration to urban employment hubs. By implementing a vocational training “plus” programme facilitating apparel sector employment, the study revealed significant and persistent effects of the programme on income and employment, primarily due to the addition of a stipend and on-the-job training components. Treated participants experienced significant income and remittance increases, alongside reduced income poverty, attributed to the lower job search costs and job–fit risks. Notably, the on-the-job paid apprenticeship offered a benefit–cost ratio of 8.85, demonstrating its cost-effectiveness for programme scalability.


The Motherhood Penalty On Health: Evidence From China, Ang Sun, Fang Xia, Xuan Zhang Oct 2025

The Motherhood Penalty On Health: Evidence From China, Ang Sun, Fang Xia, Xuan Zhang

Research Collection School Of Economics

Understanding women’s physical and mental well-being following childbirth is critical for informing policies on labor market equity, family support, and fertility. Using event study methods and panel data from China, we document a persistent motherhood penalty in both physical and mental health, whereas the health impacts on fathers are minimal. While mothers experience a temporary reduction in paid work hours, they face a sustained increase in unpaid domestic labor — housework and childcare — resulting in a net increase in total work time. This additional workload likely contributes to deterioration in health. Mothers are also more likely to engage in …


Coarse Salary-Setting And Behavioral Teams, Chengyuan Hua Oct 2025

Coarse Salary-Setting And Behavioral Teams, Chengyuan Hua

Economics Faculty Working Papers Series

Among National Hockey League (NHL) player contracts signed in 2011-24, over 38% are divisible by $100,000. This paper shows that the bunching of NHL contracts at round numbers is partly driven by team coarse wage-setting. I first show that teams with more coarse contracts have worse team performance. Then, my empirical results validate two model predictions derived from a wage-setting model in which optimization costs lead to the adoption of rounded wages. With a novel measure of management quality, I document a negative relationship between management quality and coarse salary-setting. Next, I find that coarse salary-setting is associated with higher …


Do Financial Concerns Make Workers Less Productive?, Dua Khowaja Oct 2025

Do Financial Concerns Make Workers Less Productive?, Dua Khowaja

2025 Fall Honors Capstones Projects - Archive

Financial stress does not just affect people’s finances; it can change the way individuals behave. This project asks whether short-term financial difficulty damages worker performance or if alleviating it improves focus and accuracy. Using data from a field experiment in rural India, this study examine how labor payment timing variability is related to workers' productivity and error rates. The study randomized payment dates across a sample of employees, so that employees paid early can be compared to employees paid on standard or later dates. It investigates whether subsidy of payments relieves stress and enhances task performance by minimizing stress, enhancing …


The Economic Impact Of The Soda City Market In Columbia, Sc, Sarah E. Lillard Oct 2025

The Economic Impact Of The Soda City Market In Columbia, Sc, Sarah E. Lillard

Senior Theses

This study examines the role of Soda City Market in the economic and social revitalization of Columbia, South Carolina’s Main Street district. Since relocating downtown in 2012, the market has evolved from a small farmers market into a major cultural and entrepreneurial hub attracting more than 300,000 visitors annually. To evaluate its impact, the study integrates two primary methods: a vendor survey capturing business characteristics and an IMPLAN input–output model estimating the market’s economic effects within Richland County. Survey results from 25 vendors reveal a diverse and culturally representative business community in which Soda City serves as both an incubator …


Message In A Bottleneck: Supply Chain Disruptions And Manufacturing Output In The United States, Raja N. Kali, Gu K. Jingping, Erica J. Neuyou Oct 2025

Message In A Bottleneck: Supply Chain Disruptions And Manufacturing Output In The United States, Raja N. Kali, Gu K. Jingping, Erica J. Neuyou

Economics Faculty Publications and Presentations

We examine the effect of container shipping disruptions on US manufacturing output before and during the Covid-19 pandemic. We augment maritime trade with a global production network model, where the reliability of container logistics is critical for the on-time and full availability of inputs and the delivery of output to foreign markets. We combine a US container shipping reliability dataset with input-output and trade data to construct a novel supply chain disruption index that captures the integration of upstream and downstream linkages of the US manufacturing sector into the global supply chain. Our findings suggest that a one-unit shock leads …


Evaluating The “What’S Up Down South” Economic Summit: Accelerating Growth And Expanding Impact, Paul A. Hill Oct 2025

Evaluating The “What’S Up Down South” Economic Summit: Accelerating Growth And Expanding Impact, Paul A. Hill

Outcomes and Impact Quarterly

This study evaluates the effectiveness of the 2025 What’s Up Down South economic summit, a platform for regional economic development. Data were collected through an online exit survey with a 30% response rate (n = 176), incorporating quantitative ratings and open-ended feedback to assess learning outcomes and program quality. The evaluation examined attendees’ perceptions of keynote and breakout sessions, overall satisfaction, and suggestions for improving the event. Findings indicate that the summit delivered valuable economic insights and programming while citing opportunities to improve speaker diversity, event logistics, and data collection. These insights will guide future planning to sustain the summit’s …


Aging In America: Implications For Family Resource Management, Becky Smith, Portia Johnson, Brandan Wheeler, D E Kiss, Ann A. Berry Oct 2025

Aging In America: Implications For Family Resource Management, Becky Smith, Portia Johnson, Brandan Wheeler, D E Kiss, Ann A. Berry

Journal of Human Sciences and Extension

The Stanford Center on Longevity reports life expectancy has surged over the last 120 years. Unfortunately, living longer may not equate to living with a higher quality of life without considering the amount, type, and uses of all resources available to individuals and families as they age. Family Resource Management (FRM) is the science and art of how individuals and families make decisions to develop and allocate resources, including money, time, energy, space, material, and health assets, and networks of support to meet their goals. Living longer means making more decisions and developing and allocating more resources to enhance the …


‘Invest!’: Liberty Bonds And Stock Ownership Over The Twentieth Century, Gillian Brunet, Eric Hilt, Matthew Jaremski Oct 2025

‘Invest!’: Liberty Bonds And Stock Ownership Over The Twentieth Century, Gillian Brunet, Eric Hilt, Matthew Jaremski

Economics: Faculty Publications

The Liberty Bond drives of World War I were nation-wide interventions aimed at increasing financial literacy and associating bond ownership with patriotism. Using data from the first year of the Survey of Consumer Finances, 1947, through 1971, we investigate whether exposure to the drives shaped investing behavior over the long run. We find that households residing in counties that had high Liberty Bond participation had greater stock and bond ownership rates in later decades, and held more favorable opinions towards retirement saving and stock investment. These effects are present only among cohorts actually exposed to the bond drives, and not …


Entrepreneurship Over The Business Cycle, Ryan Rudderham, Miyu Aoki Oct 2025

Entrepreneurship Over The Business Cycle, Ryan Rudderham, Miyu Aoki

Annual Student Research Poster Session

During economic recessions, individuals face a challenging decision: whether to seek traditional employment or start their own business. While recessions are a poor time for entrepreneurship due to reduced consumer spending and business productivity, these periods also feature high unemployment, which makes finding wage work difficult. This project developed a theoretical framework to study entrepreneurship over the business cycle by introducing labor market frictions, creating a tractable yet realistic structure for occupational choice. Traditional macroeconomic models struggle to capture entrepreneurial decision-making across business cycles. As such, this project looked at labor market frictions in building a theoretical framework. Over the …


Pandemic-Driven Healthcare Disruptions And Their Disproportionate Impact On Patients With Diabetes: Evidence From Texas, Meryem Saygili, Gultekin Gollu, Zehra Tekin Oct 2025

Pandemic-Driven Healthcare Disruptions And Their Disproportionate Impact On Patients With Diabetes: Evidence From Texas, Meryem Saygili, Gultekin Gollu, Zehra Tekin

Economics Faculty Publications and Presentations

Background: Diabetic Ketoacidosis (DKA) is a life-threatening complication of uncontrolled diabetes. The COVID-19 pandemic may have increased DKA incidences and worsened outcomes both through the potential diabetogenic effects of SARS-CoV-2 infection (direct effect) and through pandemic-related disruptions in healthcare (indirect effects,) including delays in seeking or receiving care, reduced access to routine outpatient services, and strains on hospital capacity. The objective of this study is to examine changes in the frequency and outcomes of hospitalizations with DKA in Texas hospitals following the COVID-19 pandemic and to quantify the contributions of pandemic-related healthcare disruptions and SARS-CoV-2 infection. Comparisons to patients with …


In The Hull Of The Uss Disregard: An Analysis Of Secretary Of State Cordell Hull’S Execution Of Foreign Policy In East Asia And The Precipitation Of Armed Conflict Between Japan And The United States, Eric B. Hawkins Oct 2025

In The Hull Of The Uss Disregard: An Analysis Of Secretary Of State Cordell Hull’S Execution Of Foreign Policy In East Asia And The Precipitation Of Armed Conflict Between Japan And The United States, Eric B. Hawkins

Theses

The political career of Cordell Hull was motivated primarily by trade policy and the courting of Central America through the negotiation of reciprocal trade treaties that helped stabilize, for the most part, the entire Western Hemisphere. He was an obvious choice for Roosevelt’s cabinet to address economic instability. But why was he chosen for Secretary of State? The Open Door Policy, adopted by many Western nations in East Asia during the early 20th century, was a petri dish primed for the growth of political strife and international conflict. With the warnings from Hull’s predecessor, Henry Stimson, placed on the back …


Alfred Russel Wallace Notes 38. Alfred Russel Wallace's "Revolt Of Democracy": A Critical Analysis Of Early 20th Century Labor Theory And Its Contemporary Relevance, James Williams, Charles H. Smith Editor Oct 2025

Alfred Russel Wallace Notes 38. Alfred Russel Wallace's "Revolt Of Democracy": A Critical Analysis Of Early 20th Century Labor Theory And Its Contemporary Relevance, James Williams, Charles H. Smith Editor

Faculty/Staff Personal Papers

This article examines Alfred Russel Wallace’s political treatise The Revolt of Democracy (1913), analyzing his theoretical framework for addressing labor unrest and economic inequality in early 20th-century Britain. Wallace's work presents a comprehensive critique of competitive capitalism and proposes systematic government intervention to address structural poverty. Through close textual analysis and comparison with contemporary UK labor conditions, this study evaluates the enduring relevance of Wallace's economic theories and policy prescriptions. The analysis reveals significant continuities between early 20th-century and contemporary debates about living wages, government employment standards, and wealth redistribution, while highlighting both the prescience and limitations of Wallace’s analytical …


Robust Contracting Under Distributional Uncertainty, Jiangtao Li, Kexin Wang Oct 2025

Robust Contracting Under Distributional Uncertainty, Jiangtao Li, Kexin Wang

Research Collection School of Economics

We study contract design when the principal has limited information about the output distributions induced by the agent's actions. In a baseline model where only the means are known, we show that increasing affine contracts are robustly optimal. The mean restrictions accommodate a wide range of output distributions, including extreme cases that help establish this optimality. We then extend the analysis to environments with additional constraints on the distributions. Our main result shows that the robust optimality of increasing affine contracts persists even when the principal knows more—for example, that each action induces a distribution with full support.


Product Technology Adoption And Aggregate Innovation, Qiugu He, Xuan Luo, Fan Zheng Oct 2025

Product Technology Adoption And Aggregate Innovation, Qiugu He, Xuan Luo, Fan Zheng

Research Collection School Of Economics

We document that a firm's research and development (R&D) expenditure depends on its product diversity. Combining with the fact that Chinese manufacturers often enter new product markets via technology adoption, we develop a quantitative framework of innovation and technology adoption, allowing firms to expand their product scopes. Firms adopt technologies across multiple fields to expand their knowledge base, which in turn serves as an input for subsequent innovation or adoption. Counterfactual analysis from the 2000s reveals that two-thirds of knowledge privately held by all firms is generated through adoption, accounting for one-third of aggregate innovation.


Weak Identification Of Long Memory With Implications For Volatility Modeling;, Jia Li, Peter C. B. Phillips, Shuping Shi, Jun Yu Oct 2025

Weak Identification Of Long Memory With Implications For Volatility Modeling;, Jia Li, Peter C. B. Phillips, Shuping Shi, Jun Yu

Research Collection School Of Economics

This paper explores implications of weak identification in common ‘long memory’ and recent ‘rough’ approaches to modeling volatility dynamics of financial assets. We unveil an asymptotic near-observational equivalence between a long memory model with weak autoregressive dynamics and a rough model with a near-unit autoregressive root. Standard methods struggle to distinguish them, and conventional asymptotics are invalid. We propose an identification-robust approach to construct confidence sets that reveal the uncertainty and aid inference. Empirical studies based on realized volatility and trading volume often fail to statistically reject either model, thereby providing evidence of their potential coexistence.


Unpacking Singapore's Leasehold Relativity Table: An Empirical And Legal Analysis, Koon Shing Kwong, Jing Rong Goh, Seng Wei, Edward Ti Oct 2025

Unpacking Singapore's Leasehold Relativity Table: An Empirical And Legal Analysis, Koon Shing Kwong, Jing Rong Goh, Seng Wei, Edward Ti

Research Collection School Of Economics

In Singapore, most land is state-owned, with the state generally issuing leasehold estates via state leases of not more than 99 years1, depending on the intended land use. Naturally, the value of a leasehold estate, which erodes over time as the lease approaches the end of its term, is a key component of the premium charged for lease renewals, or the tax imposed for permission given in relation to a development that would increase the value of the land. By law, the state valuation of leasehold land is prescribed by a leasehold relativity table colloquially known as ‘Bala’s Curve’ or …


Short-Term Mortality And Healthcare Utilization Consequences Of Pension Income Receipt: Evidence From South Korea, Mimi Jeon, Seonghoon Kim, Kanghyock Koh Oct 2025

Short-Term Mortality And Healthcare Utilization Consequences Of Pension Income Receipt: Evidence From South Korea, Mimi Jeon, Seonghoon Kim, Kanghyock Koh

Research Collection School Of Economics

We examine short-term consequences of pension income receipt on mortality and healthcare utilization within the monthly payment cycle. Using the national death registry data of South Korea, we document that the mortality rate decreases by 1.2–1.4 percent in the week of the disbursement date. The mortality-reducing effects are larger for causes of death that could have been avoided through timely and effective healthcare interventions. Using healthcare claims data, we document that the number of hospital admissions increases during the disbursement week. We provide suggestive evidence of greater mortality-reducing effects from a smaller but more frequent disbursement than from a monthly …


An Analysis Of Mergers In The Presence Of Uncertainty In Renewable Energy Integration Costs, Wassim Daher, Jihad Elnaboulsi, Mahelet G. Fikru, Luis Gautier Oct 2025

An Analysis Of Mergers In The Presence Of Uncertainty In Renewable Energy Integration Costs, Wassim Daher, Jihad Elnaboulsi, Mahelet G. Fikru, Luis Gautier

Economics Faculty Research & Creative Works

This study examines how uncertainty in renewable integration costs affects the profitability of mergers among energy producers. As the energy sector shifts toward decentralized renewables, centralized producers face industry-wide and firm-specific cost uncertainties due to the variable and intermittent nature of distributed generation. Although previous models have examined mergers in the presence of greener energy, they have largely assumed deterministic costs and ignored the impact of the dual sources of uncertainty on merger profitability. This study incorporates both industry-wide and private shocks into renewable integration costs, using two theoretical models – without and with uncertainty – to identify how these …


Measuring What Matters: Designing Metrics For A Justice-Centered Climate Transition, Mathilde Roger-Estrade Sep 2025

Measuring What Matters: Designing Metrics For A Justice-Centered Climate Transition, Mathilde Roger-Estrade

COP30

Climate justice is growing concerns in the sphere of climate policy, yet few practical tools exist to measure whether climate action is fair, inclusive and prioritizing the most vulnerable. This paper examines existing global frameworks, such as the Environmental Performance Index (EPI), Nationally Determined Contributions (NDCs), and emerging tools like PRISM and JUSTICE Integrated Assessment Models (IAMs). While these initiatives offer valuable insights, most of them lack actionable and efficient metrics to quantify climate justice implementation. Based on literature and case studies, this study proposes a set of measurable indicators across four defined justice dimensions: Distributive, Procedural, Recognitional and Exposure. …