Economics Commons^™

Stock Returns And Equity Premium Evidence Using Dividend Price Ratios And Dividend Yields In Malaysia, David Allen, Imbarine Bujang

Research outputs pre 2011

The empirical findings of Goyal and Welch (2003) and Cochrane (2006) suggested that dividend yields and dividend ratios are robust predictors of annual stock returns and annual equity premia. However, Goyal and Welch (2003) asserted that many researchers considered dividend yields to be a good predictor for the equity premium before the 1990s but not after the 1990s. We apply these models to the Malaysian market. Our general findings suggest that the in-sample performances of the KLCI Malaysian datasets present similar results to those predicted by Goyal and Welch (2003, 2006). Meanwhile, the Mincer-Zarnowitz (1969) regression forecast tests for out …

Conditional Beta Capital Asset Pricing Model (Capm) And Duration Dependence Tests, David E. Allen, Imbarine Bujang

Research outputs pre 2011

This paper uses a sample of 50 companies continuously listed on Main Board of Bursa Malaysia from January 1994 until December 2001 and uses duration dependence tests whilst applying two asset pricing models based on the CAPM; the two Factor Model developed by Fama and French (F&F)(1998) and Ferson, Sarkissian and Simin’s (FSS) (2008) conditional beta model applied to estimate the conditional beta of CAPM as to generate the positive and negative abnormal returns. The findings suggest that both the Log Logistic and Weibull hazard models seem to support the existence of negative duration dependence for both positive and negative …

Pricing Options By Simulation Using Realized Volatility, David E. Allen, Michael Mcaleer, Marcel Scharth

Research outputs pre 2011

A growing literature advocates the use of high-frequency data for the purpose of volatility estimation. However, despite the successes in modeling the conditional mean of realized volatility empirical evaluations of this class of models outside the realm of short run forecasting is limited. How can realized volatility be used for pricing options? What are the modeling qualities introduced by realized volatility models for pricing derivatives? In this short paper, we propose an options pricing framework based on a new realized volatility model that captures all the relevant empirical regularities of the realized volatility series of the S&P 500 index. We …

Areit Returns From 1990-2008: A Multi-Factor Approach, Jaime Yong, David E. Allen, Lee K. Lim

Research outputs pre 2011

Australian Real Estate Investment Trusts (AREITs) have experienced substantial growth and popularity since 1993. Amongst the major themes surrounding this sector during this time, were the increased attention from institutional investors, the trend towards and away from property-type diversification, significant merger and acquisition activities which led to increased trust size, the debate between internally versus externally managed trust structures, increased gearing levels, and the focus towards diversification into international property assets. While the AREIT sector had benefit from the increased flow of funds from institutional investors during the 1997 Asian financial crisis, the recent impact of the 2008 global financial …

Corruption And Development: The Armenian Case, Phillip J. Bryson, Sevak Tsaturyan

Faculty Publications

To determine the relationship between corruption and economic growth variables, we undertake a general analysis of those relationships for 39 countries over an eleven year period. Since the data on corruption specific to Armenia are insufficient for an econometric analysis, we undertake a case study of that country to illuminate the relationships determined by the empirical analysis. We find corruption to be a hindrance for overall economic performance, since there is a strong negative correlation between corruption indices and real per capita GDP. Regressing real Foreign Direct Investment on corruption, however, we found no strong relationship between the two. Nor …

Ape 2, Production And Exchange, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Production, labor time and costs graphs [Two-page graph packet on productivity, output, labor and machine coefficients, shift combinations, and engineering capacity]. (n.d.).
• Shaikh, A. (2009, February 19). Production and exchange [Annotated chapter draft].
• Standard view / classical view [Diagram sheet contrasting accounts of production, labor, products, and exchange]. (n.d.).
• Production and cost coefficients data table [Spreadsheet printout of shift outputs, wage bills, material costs, and cost measures]. (n.d.).
• Production and cost coefficients illustrations, figures 4.1-4.13 [Incomplete annotated graph packet with multiple spreadsheet-version labels]. (n.d.).
• Shaikh, A. (2000, September). The importance of working time in Marx's analysis [One-page …

Women's Labor Markets In Costa Rica, Kelsey Rinehart

Honors Program Theses

In this paper I explore the factors affecting women's labor force participation and wages in Costa Rica. First, I will investigate the role of education in women's labor markets. Second, I address the impact of dual labor markets and government policies on the participation and earnings of women. Finally, I recommend possible policy changes for Costa Rican labor law to benefit women.

Does Race Affect The Salaries Of Nfl Players?, Joshua Patrick Mahoney

Honors Program Theses

Previous studies of the National Football League (NFL) players' salaries have used different methods to evaluate the compensation of players in the League. Kahn [ 1991] finds a significant correlation between the race of an NFL player and the racial makeup of the metropolitan area in which he plays. In my study, I use a complete data set of players from the 2005 football season to determine whether race has a measurable impact on players' salaries. My results suggest that race is not a significant factor in determining an NFL player's compensation. Also, customer discrimination does not appear to affect …

Ape 2 2009, Production And Exchange, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Production, labor time and costs graphs [Two-page graph packet on productivity, output, labor and machine coefficients, shift combinations, and engineering capacity]. (n.d.).
• Shaikh, A. (2009, February 19). Production and exchange [Annotated chapter draft].
• Standard view / classical view [Diagram sheet contrasting accounts of production, labor, products, and exchange]. (n.d.).
• Production and cost coefficients data table [Spreadsheet printout of shift outputs, wage bills, material costs, and cost measures]. (n.d.).
• Production and cost coefficients illustrations, figures 4.1-4.13 [Incomplete annotated graph packet with multiple spreadsheet-version labels]. (n.d.).
• Shaikh, A. (2000, September). The importance of working time in Marx's analysis [One-page …

Ape 2, Methodology, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (2008, October 22). Ch 3 microfoundations, emergent properties and nonlinear dynamics [Partial chapter draft with outline, printed pages 15-30, and repeated copies of page 21].
• NetLogo simulations microfoundations paper [Simulation instructions for heterogeneous, homogeneous, whimsical, and imitate/innovate agents]. (2009, February 12).
• Shaikh, A. (2008, October 22). Ch 3 microfoundations, emergent properties and nonlinear dynamics [Annotated manuscript fragment covering printed pages 1-12 and 14].

The Effects Of Gaming On Residential Real Estate Prices And Sales: A Case Study Of Las Vegas: 1990--2008, Christopher Alan Miller

UNLV Theses, Dissertations, Professional Papers, and Capstones

This dissertation empirically investigates the effects of the gaming industry on a local economy, specifically housing prices and sales in the city and surrounding areas of Las Vegas. This study explores many of the economic effects that Las Vegas' relatively unrestricted gaming industry has on surrounding home prices and sales and analyzes the specific forces and the issues they involve. As of this writing, little to no research has used seminal economic theories to analyze the effects of the performance of a locale's gaming industry on the surrounding residential real estate market. This study addresses this gap by examining the …

A Perspective Of Global Capitalism, James Soller

UNLV Theses, Dissertations, Professional Papers, and Capstones

Since the 1970s, the political-economic structure of global society has undergone drastic restructuring. International political economy is concerned with providing explanations for these changes. This thesis will provide an alternative view of international relations that is often marginalized in the mainstream literature. It will be argued that global society needs to be understood under the historical context of capitalism and the class relations that stem from it. Central to this argument is a Gramscian derived articulation of hegemony. Thus, hegemony will be conceptualized in this thesis as a transnational class that governs over global society through consent and coercion. While …

Go West Young Man: Self-Selection And Endogenous Property Rights, Taylor Jaworski, Bart J. Wilson

ESI Working Papers

If, as Hume argues, property is a self-referring custom of a group of people, then property rights depend on how that group forms and orders itself. In this paper we investigate how people construct a convention for property in an experiment in which groups of self-selected individuals can migrate between three geographically separate regions. We find that the absence of property rights clearly decreases wealth in our environment and that interest in establishing property rights is a key determinant of the decision to migrate to a new region. Theft is nearly eliminated among migrants, resulting in strong growth, and non-migrants …

Appropriate Technology, Human Capital, And Economic Development, Beatrice Farkas

LSU Doctoral Dissertations

This research focuses on the role of human capital in explaining cross-country productivity differences, and in shaping the world allocation of capital stocks. A widely held view is that a country's ability to absorb and implement technologies is tied to its human capital. We construct a novel specification of technology that incorporates this idea. Countries are comprised of a range of industries with heterogeneous productivities. In high human capital countries, productivity is maximized for industries with the most sophisticated technologies, while in low human capital countries, productivity is maximized for industries with less sophisticated technologies. A key result is that …

Describing The Effect Of Adaptation On Settlement, John Bronsteen, Christopher Buccafusco, Jonathan Masur

Faculty Scholarship

No abstract provided.

Mills B. Lane, Jr. And Enterprise In A New South, Randall L. Patton

Faculty Articles

For a century, Citizens & Southern Bank was a fixture in Georgia. In 1991, the C&S brand name disappeared in a merger with North Carolina National Bank. This was one of the bittersweet consequences of the slow, confusing swirl of bank deregulation after 1970, when institutions such as C&S simply disappeared, swallowed by the "winners" in the new competitive environment of interstate banking in the 1980s and 1990s. Even earlier, however, the Lane family had ceased to control the bank started by Mills Lane, Sr. in 1891. Mills B. Lane, Jr. was the last member of the Lane family to …

Trade And Income Convergence: Sorting Out The Causality, Xuepeng Liu

Faculty Articles

This paper studies the linkage between international trade and income convergence across countries. Different theories offer conflicting predictions regarding how they might affect each other. In the existing empirical literature estimating the trade impact on income convergence, a long-lasting problem is the reverse causality from income convergence to trade. This paper provides a disaggregated bilateral trade data analysis to solve this problem. The results show that the reverse causality from income convergence to trade exists in differentiated product sectors, but not in homogeneous product sectors. Trade in homogeneous sectors reduces the income gaps among trade partners, but it is not …

Asymptotic Properties Of Equilibrium In Discriminatory And Uniform Price Ipv Multi-Unit Auctions, Brett E. Katzman

Faculty Articles

This paper confronts the tractability problems that accompany IPV auction models with multi-unit bidder demands. Utilizing a first order approach, the asymptotic properties of symmetric equilibria in discriminatory and uniform price auctions are derived. It is shown that as the number of bidders increases, equilibrium bids converge to valuations in both discriminatory auctions and uniform price auctions where the price paid is determined by the lowest winning bid, thus indicating that the limiting case of these auctions correspond to price taking as in neoclassical models of consumer behavior. However, when the uniform price paid is tied to the highest losing …

What Do We Expect From Our Friends?, Stephen Leider, Markus M. Mobius, Tanya S. Rosenblat, Quoc-Anh Do

Research Collection School Of Economics

We conduct a field experiment in a large real-world social network to examine how subjects expect to be treated by their friends and by strangers who make allocation decisions in modified dictator games. While recipients’ beliefs accurately account for the extent to which friends will choose more generous allocations than strangers (i.e. directed altruism), recipients are not able to anticipate individual differences in the baseline altruism of allocators (measured by giving to an unnamed recipient, which is predictive of generosity towards named recipients). Recipients who are direct friends with the allocator, or even recipients with many common friends, are no …

Keeping Dictators Honest: The Role Of Population, Quoc-Anh Do, Filipe R. Campante

Research Collection School Of Economics

In order to explain the apparently paradoxical presence of acceptable governance in many non-democratic regimes, economists and political scientists have focused mostly on institutions acting as de facto checks and balances. In this paper, we propose that population plays a similar role in guaranteeing the quality of governance and redistribution. We argue and demonstrate with historical evidence that the concentration of population around the policy making center serves as an insurgency threat to a dictatorship, inducing it to yield to more redistribution and better governance. We bring this centered concept of population concentration to the data through the Centered Index …

A Centered Index Of Spatial Concentration: Axiomatic Approach With An Application To Population And Capital Cities, Filipe R. Campante, Quoc-Anh Do

Research Collection School Of Economics

We construct an axiomatic index of spatial concentration around a center or capital point of interest, a concept with wide applicability from urban economics, economic geography and trade, to political economy and industrial organization. We propose basic axioms (decomposability and monotonicity) and refinement axioms (order preservation, convexity, and local monotonicity) for how the index should respond to changes in the underlying distribution. We obtain a unique class of functions satisfying all these properties, defined over any n-dimensional Euclidian space: the sum of a decreasing, isoelastic function of individual distances to the capital point of interest, with specific boundaries for the …

A Robust Lm Test For Spatial Error Components, Zhenlin Yang

Research Collection School Of Economics

This paper presents a modified LM test of spatial error components, which is shown to be robust against distributional misspecifications and spatial layouts. The proposed test differs from the LM test of Anselin (2001) by a term in the denominators of the test statistics. This term disappears when either the errors are normal, or the variance of the diagonal elements of the product of spatial weights matrix and its transpose is zero or approaches to zero as sample size goes large. When neither is true, as is often the case in practice, the effect of this term can be significant …

Asymptotics And Bootstrap For Transformed Panel Data Regressions, Liangjun Su, Zhenlin Yang

Research Collection School Of Economics

This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for transformed random effects models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoscedasticity, and simple model structure. We develop a quasi maximum likelihood-type procedure for model estimation and inference. We prove the consistency and asymptotic normality of the parameter estimates, and propose a simple bootstrap procedure that leads to a robust estimate of the variance-covariance matrix. Monte Carlo results reveal that these estimates perform well in finite samples, and that the gains by using bootstrap procedure for inference …

Semiparametric Prevalence Estimation From A Two-Phase Survey, Denis H. Y. Leung, J Qin

Research Collection School Of Economics

This paper studies a semi-parametric method for estimating the prevalence of a binary outcome using a two-phase survey. The motivation for a two-phase survey is, due to time, money and ethical considerations, it is impossible to carry out comprehensive evaluation on all subjects in a large random sample of the population. Rather, a relatively inexpensive "screening test" is given to all subjects in the random sample and only individuals more likely to have a positive outcome (cases) will be selected for a further "gold standard" test to verify the outcome. Therefore, individuals with verified outcome form a non-random sample from …

Coastal Empire Economic Monitor, 2nd Quarter, 2009, Armstrong Atlantic State University Center For Regional Analysis

Coastal Empire Economic Monitor

The Coastal Empire Economic Indicators are designed to provide continuously updating quarterly snapshots of the Savannah Metropolitan Statistical Area economy. The coincident index measures the current economic heartbeat of the region. The leading index provides a short term forecast of the region’s economic activity in six to nine months.

Coastal Empire Economic Monitor, 3rd Quarter, 2009, Armstrong Atlantic State University Center For Regional Analysis

Coastal Empire Economic Monitor

The Coastal Empire Economic Indicators are designed to provide continuously updating quarterly snapshots of the Savannah Metropolitan Statistical Area economy. The coincident index measures the current economic heartbeat of the region. The leading index provides a short term forecast of the region’s economic activity in six to nine months.

Extreme Neo-Liberalism: An Introduction, Stefano Harney

Research Collection Lee Kong Chian School Of Business

During the Historical Materialism Conference (2009), Stefano Harney gave a talk within an ephemerasession on ‘Politics in the Business School’ which we organised in preparation for this special issue. Thispiece offers a full transcription of that talk and is prefaced here by some introductory remarks fromStefano. The question and answer session which followed the talk has also been made available online asan audio file. Special thanks are due to Demet Dimler for inviting ephemera to organise a session atHistorical Materialism, to Matteo Mandarini for chairing the session, to Tim Edkins for recording thesession and to Alison Shalaby for transcribing the …

Instability And The Incentives For Corruption, Filipe R. Campante, Davin Chor, Quoc-Anh Do

Research Collection School Of Economics

We investigate the relationship between corruption and political stability, from both theoretical and empirical perspectives. We propose a model of incumbent behavior that features the interplay of two effects: a horizon effect, whereby greater instability leads the incumbent to embezzle more during his short window of opportunity, and a demand effect, by which the private sector is more willing to bribe stable incumbents. The horizon effect dominates at low levels of stability, because firms are unwilling to pay high bribes and unstable incumbents have strong incentives to embezzle, whereas the demand effect gains salience in more stable regimes. Together, these …

Pakistan’S Economy – 1999/2000 – 2007/2008: An Objective Appraisal, Ishrat Husain

Business Review

This article is an attempt to present a dispassionate and objective analysis of the economic situation that attempts to try to sift facts from fiction and myths, separate analysis from emotions, present the strengths and weaknesses of the economy and draw conclusions based on evidence and analysis rather than popular rhetoric and half-truths. As there is a great deal of skepticism about the quality of the official data the sources used in this paper draw upon both internationally and nationally verified and authenticated numbers. At the international level, the IMF, World Bank, Asian Development Bank, UNDP, Merrill Lynch, JP Morgan, …

The N-Effect More Competitors, Less Competition, Stephen M. Garcia, Avishalom Tor

Journal Articles

This article introduces the N-effect—the discovery that increasing the number of competitors (N) can decrease competitive motivation. Studies 1a and 1b found evidence that average test scores (e.g., SAT scores) fall as the average number of test takers at test-taking venues increases. Study 2 found that individuals trying to finish an easy quiz among the top 20% in terms of speed finished significantly faster if they believed they were competing in a pool of 10 rather than 100 other people. Study 3 showed that the N-effect is strong among individuals high in social-comparison orientation and weak among those low in …