Open Access. Powered by Scholars. Published by Universities.®

Finance and Financial Management Commons™

Open Access. Powered by Scholars. Published by Universities.®

1997

Discipline
Institution
Keyword
Publication
Publication Type

Articles 61 - 69 of 69

Full-Text Articles in Finance and Financial Management

The Opening Price Behavior: Foreign Exchange Futures Market Versus Equity Market, Quentin C. Chu, David K. Ding, C. S. Pyun Jan 1997

The Opening Price Behavior: Foreign Exchange Futures Market Versus Equity Market, Quentin C. Chu, David K. Ding, C. S. Pyun

Research Collection Lee Kong Chian School Of Business

Daily opening, noon, and closing prices of Deutschemark and Japanese yen futures are examined for the efficiency of the foreign exchange futures (FXF) market. Variance ratio and multiple variance ratio tests, are employed. The prices are found to be serially uncorrelated. This random walk behavior sheds light on the differences between the FXF and commodity or equity markets. The conclusions suggest that the FXF market is a 24-hour global market, reflecting a disparity with equity markets where round-the-clock trading is advocated since the high volatility during market opening would be eliminated, leading to potential cost reductions for traders as spreads …

Go to article

Joint Variance Ratio Tests Of The Martingale Hypothesis For Exchange Rates, Wai Mun Fong, Benedict Seng Kee Koh, Sam Ouliaris Jan 1997

Joint Variance Ratio Tests Of The Martingale Hypothesis For Exchange Rates, Wai Mun Fong, Benedict Seng Kee Koh, Sam Ouliaris

Research Collection Lee Kong Chian School Of Business

There is considerable interest in whether exchange rates behave like martingales. Liu and He tested the martingale hypothesis for exchange rates using the variance-ratio methodology of Lo and MacKinlay. They found that exchange rates have violated the martingale property since the inception of floating rates in 1973. Liu and He did not consider the joint implications of their tests, however. In this article, we reassess the martingale hypothesis for exchange rates using the joint tests developed by Hochberg and by Richardson and Smith. Contrary to the findings of Liu and He, the joint tests indicate that the martingale model worked …

Go to article

Financial Planning As A Career, Mikol Sesker Jan 1997

Financial Planning As A Career, Mikol Sesker

Presidential Scholars Theses (1990 – 2006)

Financial literacy in the United States stands at about 18% of the population according to the Investor Protection Trust's 1996 Investor Knowledge Survey. This figure includes the infamous baby-boomer generation which is now in the process of thinking about retirement and making major financial decisions. This need has fueled the growth of the financial services industry and particularly the field of financial planning. People today feel inadequate to the task of organizing their financial situation and making sound investment decisions. For help with this situation they often turn to a personal financial planner. But the search for a competent, trustworthy …

Go to article

Fuzzy Underwriting: An Application Of Fuzzy Logic To Medical Underwriting, Per-Johan Horgby, Ralf Lohse, Nicola-Alexander Sittaro Jan 1997

Fuzzy Underwriting: An Application Of Fuzzy Logic To Medical Underwriting, Per-Johan Horgby, Ralf Lohse, Nicola-Alexander Sittaro

Journal of Actuarial Practice (1993–2006)

One of the most difficult issues in the medical underwriting of life insurance applicants is diabetes mellitus. Compiling the prognosticating parameters for diabetic applicants results in a complex system of mutually interacting factors. In addition, neither the prognosticating factors themselves nor their impact on the mortality risk is clear cut. We show how a fuzzy inference system can be used in underwriting diabetes mellitus. A fuzzy inference system can cope with the imprecise nature of medical parameters by converting them into fuzzy sets and aggregating them using mathematical techniques. The fuzzy underwriting system presented goes further than previous applications of …

Go to article

The Right To Underwrite? An Actuarial Perspective With A Difference, Thomas A. Moultrie, Guy R. Thomas Jan 1997

The Right To Underwrite? An Actuarial Perspective With A Difference, Thomas A. Moultrie, Guy R. Thomas

Journal of Actuarial Practice (1993–2006)

For a long time underwriting has been a part of the actuarial canon. With increasing frequency, however, challenges are being issued against the right of insurance companies to underwrite applications for new bUSiness, arguing that certain aspects of the practice are undesirably discriminatory. We explore the role of the actuary in the underwriting process and the challenges that are being set for the profession (as opposed to the life insurance industry) as a result of this role. As the distinction between the interests of the actuarial profession and the interests of the life insurance companies has become increasingly blurred, we …

Go to article

Actuarial Model Assumptions For Australian Inflation, Equity Returns, And Interest Rates, Michael Sherris Jan 1997

Actuarial Model Assumptions For Australian Inflation, Equity Returns, And Interest Rates, Michael Sherris

Journal of Actuarial Practice (1993–2006)

Though actuaries have developed several types of stochastic investment models for inflation, stock market returns, and interest rates, there are two commonly used in practice: autoregressive time series models with normally distributed errors, and autoregressive conditional heteroscedasticity (ARCH) models. ARCH models are particularly suited when there is heteroscedasticity in inflation and interest rate series. In such cases nonnormal residuals are found in the empirical data. This paper examines whether Australian univariate inflation and interest rate data are consistent with autoregressive time series and ARCH model assumptions.

Go to article

Employment Separation And Health Insurance Coverage, Jonathan Gruber, Brigitte C. Madrian Jan 1997

Employment Separation And Health Insurance Coverage, Jonathan Gruber, Brigitte C. Madrian

Faculty Publications

We study the interrelationship between employment separation and insurance coverage. We first document that employment separation is associated with large reductions in insurance coverage, even conditioning on underlying tastes for insurance.We then show that reducing the cost of insurance through state laws mandating continued access to employerprovided health insurance for the non-employed increases the likelihood of having insurance after separating from a job by 6.7%. These mandates also increase the number of individuals who separate and the total amount of time spent jobless. Finally, at least some of this increased non-employment appears to be spent in productive job search as …

Go to article

Pitfalls In Tests For Changes In Correlations, Brian H. Boyer, Michael S. Gibson, Mico Loretan Jan 1997

Pitfalls In Tests For Changes In Correlations, Brian H. Boyer, Michael S. Gibson, Mico Loretan

Faculty Publications

Correlations are crucial for pricing and hedging derivatives whose payoff depends on more than one asset. Typically, correlations computed separately for ordinary and stressful market conditions differ considerably, a pattern widely termed "correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely during "stressful" market situations. We show that such worries may not be justified since "correlation breakdowns" can easily be generated by data whose distribution is stationary and, in particular, whose correlation coefficient is constant. We make this point analytically, by way of several numerical examples, and via an …

Go to article

The Delisting Bias In Crsp Data, Tyler Shumway Jan 1997

The Delisting Bias In Crsp Data, Tyler Shumway

Faculty Publications

I document a delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP). I find that delists for bankruptcy and other negative reasons are generally surprises and that correct delisting returns are not available for most of the stocks that have been delisted for negative reasons since 1962. Using over-the-counter price data, I show that the omitted delisting returns are large. Implications of the bias are discussed.

Go to article

First Prev