Finance and Financial Management Commons^™

Dropping Out Of High School Among African Americans In Benton Harbor, Michigan : A Study Of Its Economic Implications, Dahlia E. Pottinger

Dissertations

Problem

This study examined the economic implications of dropping out of high school for African Americans in Benton Harbor, Michigan.

Methods

The methodology used in this study is a documentary one. Sources relating to the economic implications of dropping out o f high school among African Americans were studied. The United States 1990 Census o f Population, the National Center for Education Statistics, and local publications provided data for the research.

Results

Dropping out o f high school has definite economic implications for dropouts in Benton Harbor. The estimated number of African American dropouts as of 1990 was a total …

A Comparative Study And Estimation Of The Life-Cycle Cost Impact Of Application Of Real-Time Non-Intrusive (Rtni) Monitoring Technology To Real-Time Embedded Systems, Michael D. Lewis

Theses and Dissertations

The use of real time non-intrusive (RTNI) monitoring has had an impact on life cycle costs of existing programs through a reduction in debug time. Other areas in which RTNI monitoring can provide potential benefits to future programs are through the use of increased dynamic testing and the sharing of testing time among more engineers. There are a number of areas in which software life cycle costs are impacted by various cost drivers. To determine which areas were affected by the use of RTNI monitoring, a panel of expert users of RTNI monitoring was created using a form of the …

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 …

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 …

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 …

Evaluating Forecasts Of Correlation Using Option Pricing, Michael S. Gibson, Brian H. Boyer

Faculty Publications

A forecast of the correlation between two asset prices is required to price or hedge an option whose payoff depends on both asset prices or to measure the risk of a portfolio whose return depends on both asset prices. However, a number of factors make it difficult to evaluate forecasts of correlation. We develop a forecast evaluation methodology based on option pricing, extending a technique that Engle et al (1993) introduced to evaluate volatility forecasts. A forecast of the variance-covariance matrix of joint asset returns is used to generate a trading strategy for a package of simulated options. The most …

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 …

Two Paradigms For The Market Value Of Liabilities, Robert R. Reitano, Craig B. Merrill

Faculty Publications

Financial valuation models can be applied to insurance- related claims. In particular, these models are being employed to calculate the market value of insurance liabilities. The goal of this paper is to introduce the various approaches to valuation that are used in the finance literature and show how the valuation of insurance liabilities fits into the financial valuation framework. The theory suggests that securitization of insurance liabilities may lead to better market value calculations.

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.