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Articles 1651 - 1680 of 2838
Full-Text Articles in Economics
Bringing A Natural Experiment Into The Laboratory: The Measurement Of Individual Risk Attitudes, Zuzana Brokesova, Cary Deck, Jana Peliova
Bringing A Natural Experiment Into The Laboratory: The Measurement Of Individual Risk Attitudes, Zuzana Brokesova, Cary Deck, Jana Peliova
ESI Working Papers
Controlled laboratory experiments have become a generally accepted method for studying economic behavior, but there are two issues that regularly arise with such work. The first pertains to the ability to generalize experimental results outside the laboratory. While laboratory experiments are typically designed to mimic naturally occurring situations, ceteris paribus comparisons are rare. Using data from a promotional campaign by a bank and a matching laboratory experiment, we find similar patterns of risk taking behavior controlling for gender and age. The second issue pertains to the impact that the payment procedure in an experiment has on observed risk taking behavior. …
Ambiguity Framed, Mark Schneider, Jonathan W. Leland, Nathaniel Wilcox
Ambiguity Framed, Mark Schneider, Jonathan W. Leland, Nathaniel Wilcox
ESI Working Papers
In his exposition of subjective expected utility theory, Savage (1954) proposed that the Allais paradox could be reduced if it were recast into a format which made the appeal of the independence axiom of expected utility theory more transparent. Recent studies consistently find support for this prediction. We consider a salience-based choice model which explains this frame-dependence of the Allais paradox and derive the novel prediction that the same type of presentation format which was found to reduce Allais-style violations of expected utility theory will also reduce Ellsberg-style violations of subjective expected utility theory since that format makes the appeal …
Axioms For Salience Perception, Jonathan W. Leland, Mark Schneider
Axioms For Salience Perception, Jonathan W. Leland, Mark Schneider
ESI Working Papers
Models of salience-based choice have become popular in recent years, although there is still no known set of simple conditions or axioms which implies the existence of a salience function. In this paper, we provide simple and natural axioms that characterize the general class of salience functions. As an application we consider a salience-based model of decision making and show that within that setup the fourfold pattern of risk attitudes is a general property of a salience function and that the properties producing that pattern also account for other anomalies involving risky and intertemporal choice.
Random Expected Utility And Certainty Equivalents: Mimicry Of Probability Weighting Functions, Nathaniel Wilcox
Random Expected Utility And Certainty Equivalents: Mimicry Of Probability Weighting Functions, Nathaniel Wilcox
ESI Working Papers
For simple prospects of the kind routinely used for certainty equivalent elicitation, random expected utility preferences imply a conditional expectation function that can mimic deterministic rank dependent preferences. That is, an agent with random expected utility preferences can have mean certainty equivalents that look exactly like rank dependent probability weighting functions of the inverse-s shape discussed by Quiggin (1982) and later advocated by Tversky and Kahneman (1992) and other scholars. It seems that certainty equivalents cannot nonparametrically identify preferences, at least not in every relevant sense, since their conditional expectation depends on assumptions concerning the source and nature of their …
What Makes A Good Trader? On The Role Of Intuition And Reflection On Trader Performance, Brice Corgnet, Mark Desantis, David Porter
What Makes A Good Trader? On The Role Of Intuition And Reflection On Trader Performance, Brice Corgnet, Mark Desantis, David Porter
ESI Working Papers
Using simulations and experiments, we pinpoint two main drivers of trader performance: cognitive reflection and theory of mind. Both dimensions facilitate traders’ learning about asset valuation. Cognitive reflection helps traders use market signals to update their beliefs whereas theory of mind offers traders crucial hints on the quality of those signals. We show these skills to be complementary because traders benefit from understanding the quality of market signals only if they are capable of processing them. Cognitive reflection relates to previous Behavioral Finance research as it is the best predictor of a trader’s ability to avoid commonly-observed behavioral biases.
The Effects Of Experience, Choice Architecture, And Cognitive Reflection In Individual And Strategic Decisions, Mark Schneider, David Porter
The Effects Of Experience, Choice Architecture, And Cognitive Reflection In Individual And Strategic Decisions, Mark Schneider, David Porter
ESI Working Papers
Cognitive reflection has been shown to be an important trait which is correlated with the propensity to: take risks, delay gratification, and form accurate beliefs about others’ behavior. However, previous research has not cleanly identified whether reflective thinkers make ‘better’ decisions than intuitive thinkers, since inferences of decision quality are confounded by inferences regarding risk preferences, time preferences, and beliefs. We directly test for differences in decision quality between reflective thinkers and intuitive thinkers in both individual and strategic decisions using a design which makes it possible to objectively rank risky and strategic choices, independent of one’s attitudes toward risk …
A Tale Of Two Option Markets: Pricing Kernels And Volatility Risk, Zhaogang Song, Dacheng Xiu
A Tale Of Two Option Markets: Pricing Kernels And Volatility Risk, Zhaogang Song, Dacheng Xiu
Research Collection Lee Kong Chian School Of Business
Using both S&P 500 option and recently introduced VIX option prices, we study pricing kernels and their dependence on multiple volatility factors. We first propose nonparametric estimates of marginal pricing kernels, conditional on the VIX and the slope of the variance swap term structure. Our estimates highlight the state-dependence nature of the pricing kernels. In particular, conditioning on volatility factors, the pricing kernel of market returns exhibit a downward sloping shape up to the extreme end of the right tail. Moreover, the volatility pricing kernel features a striking U-shape, implying that investors have high marginal utility in both high and …
New Distribution Theory For The Estimation Of Structural Break Point In Mean, Liang Jiang, Xiaohu Wang, Jun Yu
New Distribution Theory For The Estimation Of Structural Break Point In Mean, Liang Jiang, Xiaohu Wang, Jun Yu
Research Collection School Of Economics
Based on the Girsanov theorem, this paper first obtains the exact distribution of the maximum likelihood estimator of structural break point in a continuous time model. The exact distribution is asymmetric and tri-modal, indicating that the estimator is seriously biased. These two properties are also found in the finite sample distribution of the least squares estimator of structural break point in the discrete time model. The paper then builds a continuous time approximation to the discrete time model and develops an in-fill asymptotic theory for the least squares estimator. The obtained in-fill asymptotic distribution is asymmetric and tri-modal and delivers …
Meritocracy Voting: Measuring The Unmeasurable, Peter C. B. Phillips
Meritocracy Voting: Measuring The Unmeasurable, Peter C. B. Phillips
Research Collection School Of Economics
Learned societies commonly carry out selection processes to add new fellows to an existing fellowship. Criteria vary across societies but are typically based on subjective judgments concerning the merit of individuals who are nominated for fellowships. These subjective assessments may be made by existing fellows as they vote in elections to determine the new fellows or they may be decided by a selection committee of fellows and officers of the society who determine merit after reviewing nominations and written assessments. Human judgment inevitably plays a central role in these determinations and, notwithstanding its limitations, is usually regarded as being a …
Shrinkage Estimation Of Dynamic Panel Data Models With Interactive Fixed Effects, Xun Lu, Liangjun Su
Shrinkage Estimation Of Dynamic Panel Data Models With Interactive Fixed Effects, Xun Lu, Liangjun Su
Research Collection School Of Economics
We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai (2009) and Moon and Weidner (2015), we propose a method for simultaneous selection of regressors and factors and estimation through the method of adaptive group Lasso (least absolute shrinkage and selection operator). We show that with probability approaching one, our method can correctly select all relevant regressors and factors and shrink the coefficients of irrelevant regressors and redundant factors to zero. …
Semiparametric Estimation Of Partially Linear Dynamic Panel Data Models With Fixed Effects, Liangjun Su, Yonghui Zhang
Semiparametric Estimation Of Partially Linear Dynamic Panel Data Models With Fixed Effects, Liangjun Su, Yonghui Zhang
Research Collection School Of Economics
In this paper, we study a partially linear dynamic panel data model with fixed effects, where either exogenous or endogenous variables or both enter the linear part, and the lagged-dependent variable together with some other exogenous variables enter the nonparametric part. Two types of estimation methods are proposed for the first-differenced model. One is composed of a semiparametric GMM estimator for the finite-dimensional parameter θ and a local polynomial estimator for the infinite-dimensional parameter m based on the empirical solutions to Fredholm integral equations of the second kind, and the other is a sieve IV estimate of the parametric and …
Money And The Scale Of Cooperation, Maria Bigoni, Gabriele Camera, Marco Casari
Money And The Scale Of Cooperation, Maria Bigoni, Gabriele Camera, Marco Casari
ESI Working Papers
This study reveals the existence of a causal link between the availability of money and an expanded scale of interaction. We constructed an experiment where participants chose the group size, either a low-value partnership or a high-value group of strangers, and then faced an intertemporal cooperative task. Theoretically, a monetary system was inessential to achieve cooperation. Empirically, without a working monetary system, participants were reluctant to expand the scale of interaction; and when they did, they ended up destroying surplus compared to partnerships, because cooperation collapsed in large groups. This economic failure was reversed only when participants managed to concurrently …
Two Essays In Finance And Economics: “Investment Opportunities In Commodity And Stock Markets For G7 Countries” And “Global And Local Factors Affecting Sovereign Yield Spreads”, Selma Izadi
LSU New Orleans Theses and Dissertations
In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative during the financial crisis. This fact indicates the …
Rhode Island Current Conditions Index -- December 2015, Leonard Lardaro
Rhode Island Current Conditions Index -- December 2015, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
The Child Support "Tax" : Determining The Effect Of Child Support On The Income Growth Of Noncustodial Parents, Jesse Snook
The Child Support "Tax" : Determining The Effect Of Child Support On The Income Growth Of Noncustodial Parents, Jesse Snook
Theses and Dissertations
This study examines the role of child support in determining income growth. Using an Ordinary Least Squares (OLS) model with state-level fixed effects applied to panel data from the National Study of Families and Households (NSFH), I find that having a legal agreement to pay child support has a significant and negative effect on the income growth of the noncustodial parent. Specifically, after controlling for demographic variables and the respondent’s economic circumstances in the initial time period, the OLS model with state-level fixed effects finds that having a child support obligation is associated with a 17.73 percentage point decrease in …
Linear Programming-Based Estimators In Nonnegative Autoregression, Daniel P. A. Preve
Linear Programming-Based Estimators In Nonnegative Autoregression, Daniel P. A. Preve
Research Collection School Of Economics
This note studies robust estimation of the autoregressive (AR) parameter in a nonlinear, nonnegative AR model. It is shown that a linear programming estimator (LPE), considered by Nielsen and Shephard (2003) among others, remains consistent under severe model misspecification. Consequently, the LPE can be used to seek sources of misspecification and to isolate certain trend, seasonal or cyclical components. Simple and quite general conditions under which the LPE is strongly consistent in the presence of heavy-tailed, serially correlated, heteroskedastic disturbances are given, and a brief review of the literature on LP-based estimators in nonnegative autoregression is presented. Finite-sample properties of …
Unified M-Estimation Of Fixed-Effects Spatial Dynamic Models With Short Panels, Zhenlin Yang
Unified M-Estimation Of Fixed-Effects Spatial Dynamic Models With Short Panels, Zhenlin Yang
Research Collection School Of Economics
It is well known that quasi maximum likelihood (QML) estimation of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values, and a wrong treatment of them will result in inconsistency and serious bias. The same issues apply to spatial DPD (SDPD) models with short panels. In this paper, a unified Mestimation method is proposed for estimating the fixed-effects SDPD models containing three major types of spatial effects, namely spatial lag, spatial error and space-time lag. The method is free from the specification of the distribution of the initial observations and robust against nonnormality …
New Methodology For Constructing Real Estate Price Indices Applied To The Singapore Residential Market, Liang Jiang, Peter C. B. Phillips, Jun Yu
New Methodology For Constructing Real Estate Price Indices Applied To The Singapore Residential Market, Liang Jiang, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This paper develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. …
Intraday Value-At-Risk: An Asymmetric Autoregressive Conditional Duration Approach, Shouwei Liu, Yiu Kuen Tse
Intraday Value-At-Risk: An Asymmetric Autoregressive Conditional Duration Approach, Shouwei Liu, Yiu Kuen Tse
Research Collection School Of Economics
We propose to compute the Intraday Value-at-Risk (IVaR) for stocks using real-time transaction data. Tick-by-tick data filtered by price duration are modeled using a two-state asymmetric autoregressive conditional duration (AACD) model, and the IVaR is calculated using Monte Carlo simulation based on the estimated AACD model. Backtesting results for the New York Stock Exchange (NYSE) show that the IVaR calculated using the AACD method outperforms those using the Dionne et al. (2009) and Giot (2005) methods.
Adaptive Nonparametric Regression With Conditional Heteroskedasticity, Sainan Jin, Liangjun Su, Zhijie Xiao
Adaptive Nonparametric Regression With Conditional Heteroskedasticity, Sainan Jin, Liangjun Su, Zhijie Xiao
Research Collection School Of Economics
In this paper, we study adaptive nonparametric regression estimation in the presence of conditional heteroskedastic error terms. We demonstrate that both the conditional mean and conditional variance functions in a nonparametric regression model can be estimated adaptively based on the local profile likelihood principle. Both the one-step Newton-Raphson estimator and the local profile likelihood estimator are investigated. We show that the proposed estimators are asymptotically equivalent to the infeasible local likelihood estimators [e.g., Aerts and Claeskens (1997) Journal of the American Statistical Association 92, 1536-1545], which require knowledge of the error distribution. Simulation evidence suggests that when the distribution of …
Rhode Island Current Conditions Index -- November 2015, Leonard Lardaro
Rhode Island Current Conditions Index -- November 2015, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Improved Inferences For Spatial Regression Models, Shew Fan Liu, Zhenlin Yang
Improved Inferences For Spatial Regression Models, Shew Fan Liu, Zhenlin Yang
Research Collection School Of Economics
The quasi-maximum likelihood (QML) method is popular in the estimation and inference for spatial regression models. However, the QML estimators (QMLEs) of the spatial parameters can be quite biased and hence the standard inferences for the regression coefficients (based on t-ratios) can be seriously affected. This issue, however, has not been addressed. The QMLEs of the spatial parameters can be bias-corrected based on the general method of Yang (2015b, J. of Econometrics 186, 178-200). In this paper, we demonstrate that by simply replacing the QMLEs of the spatial parameters by their bias-corrected versions, the usual t-ratios for the regression coefficients …
Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu
Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
This article provides the limit theory of real-time dating algorithms for bubble detection that were suggested in Phillips, Wu, and Yu (PWY; International Economic Review 52 [2011], 201-26) and in a companion paper by the present authors (Phillips, Shi, and Yu, 2015; PSY; International Economic Review 56 [2015a], 1099-1134. Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolve as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right-tailed unit root tests (each with a different recursive …
Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu
Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real-time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple-bubble phenomena within the same sample period. To meet this challenge, this article develops a new recursive flexible window method that is better suited for practical implementation with long …
A Bayesian Chi-Squared Test For Hypothesis Testing, Yong Li, Xiaobin Liu, Jun Yu
A Bayesian Chi-Squared Test For Hypothesis Testing, Yong Li, Xiaobin Liu, Jun Yu
Research Collection School Of Economics
A new Bayesian test statistic is proposed to test a point null hypothesis based on a quadratic loss. The proposed test statistic may be regarded as the Bayesian version of the Lagrange multiplier test. Its asymptotic distribution is obtained based on a set of regular conditions and follows a chi-squared distribution when the null hypothesis is correct. The new statistic has several important advantages that make it appealing in practical applications. First, it is well-defined under improper prior distributions. Second, it avoids Jeffrey-Lindley's paradox. Third, it always takes a non-negative value and is relatively easy to compute, even for models …
Panel Data Models With Interactive Fixed Effects And Multiple Structural Breaks, Degui Li, Junhui Qian, Liangjun Su
Panel Data Models With Interactive Fixed Effects And Multiple Structural Breaks, Degui Li, Junhui Qian, Liangjun Su
Research Collection School Of Economics
In this paper we consider estimation of common structural breaks in panel data models with unobservable interactive fixed effects. We introduce a penalized principal component (PPC) estimation procedure with an adaptive group fused LASSO to detect the multiple structural breaks in the models. Under some mild conditions, we show that with probability approaching one the proposed method can correctly determine the unknown number of breaks and consistently estimate the common break dates. Furthermore, we estimate the regression coefficients through the post-LASSO method and establish the asymptotic distribution theory for the resulting estimators. The developed methodology and theory are applicable to …
Supplement To Two Papers On Multiple Bubbles [Online Supplementary Materials], Peter C. B. Phillips, Shuping Shi, Jun Yu
Supplement To Two Papers On Multiple Bubbles [Online Supplementary Materials], Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
This paper provides a supplement to two companion papers by the authors: “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500” (PSY1 hereafter); and “Testing for Multiple Bubbles: Limit Theory of Real Time Detectors” (PSY2 hereafter). Section 1 supplements the empirical application of PSY1 by examining the robustness of the bubble identification and dating results to the choice of the minimum window size parameter used in the rolling regression framework of PSY. Section 2 provides proofs of supplementary lemmas that facilitate analysis of the multiple bubble case, derives the limit behaviour of the recursive unit …
The Effect Of New York City Sports Outcomes On The Stock Market, Nir Levy
The Effect Of New York City Sports Outcomes On The Stock Market, Nir Levy
Undergraduate Economic Review
This thesis investigates whether sports outcomes for New York City based teams affect the daily returns, volatility or trading volume of major stock indexes in the United States. I research whether events that affect local mood in a major financial center can influence national stock indexes by swaying the sentiment of workers in the financial sector. By performing an event study I found evidence that returns are abnormally high following championships won by New York City professional sports teams. Returns are abnormally low and volume is abnormally high following elimination from a championship round.
Rhode Island Current Conditions Index -- October 2015, Leonard Lardaro
Rhode Island Current Conditions Index -- October 2015, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Bias-Correction For Weibull Common Shape Estimation, Yan Shen, Zhenlin Yang
Bias-Correction For Weibull Common Shape Estimation, Yan Shen, Zhenlin Yang
Research Collection School Of Economics
A general method for correcting the bias of the maximum likelihood estimator (MLE) of the common shape parameter of Weibull populations, allowing a general right censorship, is proposed in this paper. Extensive simulation results show that the new method is very effective in correcting the bias of the MLE, regardless of censoring mechanism, sample size, censoring proportion and number of populations involved. The method can be extended to more complicated Weibull models.