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Compustate Crisp Database, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Compustat/CRISP database contact notes by Anwar Shaikh
• Notes on CRISP/Compustat merged database and Wharton Research Data Services (WRDS) by Anwar Shaikh
• Notes on Capital-IQ service and university data subscriptions by Anwar Shaikh

Mexico Consensus Economic Forecast, Volume 14, Number 1, Thomas M. Fullerton Jr., Teodulo Soto

Departmental Papers (E & F)

No abstract provided.

Reflexivity, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Reflexivity (file folder). Anwar Shaikh, PhD, manuscript in progress, 2011.
• General point (handwritten notes). Anwar Shaikh, PhD, November 2011.
• End of my talk (handwritten presentation outline). Anwar Shaikh, PhD, November 2011.
• Reflexivity and the theory and practice of social change (unpublished workshop paper). George Soros, November 03, 2011.
• Reflexivity, path dependence, and disequilibrium dynamics. Anwar Shaikh, Journal of Post Keynesian Economics, 2010, M.E. Sharpe, Inc.
• Mark 2: Still stable (handwritten notes). Anwar Shaikh, PhD, March 28, 2010.
• The crisis & what to do about it (web article). George Soros, November 06, 2008.
• Unrepentant (letter to the …

Chapter 11, Competition And Finance Revisions, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. Chapter 11 competition and finance revisions outline (Unpublished manuscript).
• Shaikh, A. (2012). Handwritten notes on interest rates and profit rate equalization equations (Unpublished manuscript).
• Parchure, R. A reconstruction of interest rate theory (Unpublished manuscript).

Bank Risk: Does Size Matter?, David Allen, Akhmad R. Kramadibrata, Robert Powell, Abhay K. Singh

Research outputs 2011

The size of banks is examined as a determinant of bank risk. A wide range of banks are examined across four regions, including Australia, Canada, Europe and the USA. Four risk metrics are considered including Value at Risk (VaR), Conditional Value at Risk (CVaR, which measures risk beyond VaR), Probability of Default (PD) using Merton structural methodology, and Conditional Probability of Default (CPD, the author’s own model which measures risk based on extreme asset value fluctuations. Daily equity and asset value fluctuations are included in the analysis, including pre-GFC and GFC periods. In addition to examining size in isolation as …

Xtreme Credit Risk Models: Implications For Bank Capital Buffers, David E. Allen, Akhmad R. Kramadibrata, Robert J. Powell, Abhay K. Singh

Research outputs 2011

The Global Financial Crisis (GFC) highlighted the importance of measuring and understanding extreme credit risk. This paper applies Conditional Value at Risk (CVaR) techniques, traditionally used in the insurance industry to measure risk beyond a predetermined threshold, to four credit models. For each of the models we use both Historical and Monte Carlo Simulation methodology to create CVaR measurements. The four extreme models are derived from modifications to the Merton structural model (which we term Xtreme-S), the CreditMetrics Transition model (Xtreme-T), Quantile regression (Xtreme-Q), and the author’s own unique iTransition model (Xtreme-i) which incorporates industry factors into transition matrices. For …

Three Essays On The Impact Of Information And Transparency In Firms, Lloyd R. Wade

Electronic Theses and Dissertations

This dissertation consists of three essays on the information and transparency in firms. In the first essay, we provide some of the first evidence regarding the impact of safety expenditures on moral hazard induced by increases in workers' compensation benefits. Prior studies have inferred the effect of safety incentives by testing the relation between claims frequency and benefit increases. However, these studies have not explicitly modeled the impact of actual safety expenditures. Using a proprietary dataset containing policy-level data for several thousand policies over a 13-year period we show that safety expenditures play a positive role in reducing the moral …

Economic Patterns In Capitalism, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Economic patterns in capitalism fall 2011: U.S. economic charts. (2011, Fall). Unpublished document compilation.

• Shaikh, A. (2000, September). The fundamental equation of prices [Unpublished manuscript].

• Sardoni, C. (1994, December 15–17). Marx’s theory of money and interest: Between Robertson and Keynes? [Unpublished conference paper]. Karl Marx’s Third Volume of Capital: 1894–1994 Conference, University of Bergamo, Bergamo, Italy.

• Panico, C. (1988). Marx on the interest rate (Chap. 2) [Photocopy]. In Interest and profit in the theories of value and distribution. Palgrave Macmillan.

• Panico, C. (1988). Marx on the relation between interest and profit …

Directors' And Officers' Liability Insurance And Acquisition Outcomes, Chen Lin, Micah S. Officer, Hong Zou

Finance Faculty Works

We examine the effect of directors' and officers' liability insurance (D&O insurance) on the outcomes of merger and acquisition (M&A) decisions. We find that acquirers whose executives have a higher level of D&O insurance coverage experience significantly lower announcement-period abnormal stock returns. Further analyses suggest that acquirers with a higher level of D&O insurance protection tend to pay higher acquisition premiums and their acquisitions appear to exhibit lower synergies. The evidence provides support for the notion that the provision of D&O insurance can induce unintended moral hazard by shielding directors and officers from the discipline of shareholder litigation.

Chapter 11 Competition + Finance, Anwar Shaikh Phd

Archives of Anwar Shaikh

24-46_Choice of Technology.pdf You said: You’re an archivist who has been trained to never cite inline page references. This habit is so ingrained that the pattern "(P." does not exist in your vocabulary. You are now detailing a new entry, analyze the uploaded file and give an outline of the material with all dates standardized, all bullet-point item formatting, and sentence case for titles, and italics for all titles, 1.5 spacing between paragraphs, and expand the published items into full apa references with publisher details and journal information but without internet links, or any further description of the different items, …

مدى تطبيق واعتماد المصارف المحلية العراقية للحوكمة المصرفية.. دراسة ميدانية لعينة من المصارف العاملة في القطاعين الحكومي والخاص في بيئة العمل العراقية, محمد سمير دهيرب

Muthanna Journal of Administrative and Economics Sciences

تهدف الدراسة إلى التعرف على الحوكمة المصرفية وفقا لمبادئ وقواعد الحوكمة الصادرة عن منظمة التنمية والتعاون الاقتصادي (OECD) ولجنة بازل Basel) ) للرقابة المصرفية، حيث جاءت الدراسة لتسلط الضوء على مفاهيم وأهداف ومزايا الحوكمة, وقد تم تطبيق الحوكمة المصرفية في عينة من المؤسسات المالية ومنها المصارف المحلية العاملة في البيئة العراقية باعتبارها الركائز الأساسية للاقتصاد الوطني واحد دعائمه وذلك باستخدام أسلوب استمارات الاستبانة في مجتمع الدراسة المتكون من (30) موظف. إن أهم ما جاء بالدراسة من استنتاجات، أن مبادئ الحوكمة عند تطبيقها من شأنها أن تؤدي إلى تحقيق العدالة والشفافية وحماية حقوق المودعين وتعمل على تخفيض معدلات الفساد المالي والإداري …

Analysis Of Singapore's Foreign Exchange Market Microstructure, Chee Wai Wan

Dissertations and Theses Collection (Open Access)

This paper analyses the Singapore foreign exchange market from a microstructure approach. Specifically, by applying and modifying the empirical methodology designed by Bollerslev and Melvin (1994), we examine the relationship between bid-ask spreads and the underlying volatility of the USD/SGD. Our data set comprises high-frequency USD/SGD tick data of three separate years (April-June 1989, April-May 2006, April-May 2009). We found that for the USD/SGD: i) the size of bid-ask spreads are positively related to the underlying exchange rate volatility; ii) the magnitude of the dependence on underlying volatility increases as tick volume increases; and iii) the size of the bid-ask …

Equity Valuation Methods Of Analysts In Malaysia : A Study Of Financial Analyst Coverage Of Airasia Berhad 2007-2011., Intan Suraya Hashim

Student Works (2010-2019)

This study examined the valuation methods used by sell-side financial analysts to value AirAsiaBerhad’s (AirAsia) shares. Using content analysis methodology and a survey of analysts who were covering the share, earningsbased valuations appeared to be dominant when AirAsia reported a profit and asset-based valuations appeared to be dominant when AirAsia reported a loss. Our results suggested that the Price-to-Earnings (P/E) ratio is analysts’ preferred earnings-based valuation method. However, we could not conclusively identify their preferred asset-based valuation method. Our results also indicated that analysts changed valuation methods during their coverage of AirAsia’s shares, switching between earnings-based and asset-based valuations as …

The Impact Of Tarp Bailouts On Stock Market Volatility And Investor Fear, Daniel Huerta, Daniel Perez-Liston, Dave Jackson

School of Economics and Finance Faculty Publications

The Emergency Economic Stabilization Act of 2008 was the response of the Federal government to the economic crisis of 2007-2009. Within this act, the Troubled Asset Relief Program (TARP) was the mechanism to attempt to stabilize the financial market through the injection of liquidity into troubled firms. This paper examines the effect of TARP bailouts on stock market volatility and investor fear. Using an event study methodology, we find evidence of a significant decrease in stock-market volatility on the day of bailouts, and the day after. Additionally, findings show that the VIX, a proxy of investor fear, significantly declines on …

Monetary Policy In Singapore And The Global Financial Crisis, Hwee Kwan Chow, Peter Wilson

Research Collection School Of Economics

Prior to the crisis the consensus amongst central bankers in advanced economies was that price stability, in the form of low and stable price inflation, was a top priority for monetary policy and could best be achieved by targeting interest rates (usually overnight) or monetary aggregates, such as Narrow Money (M1) and Broad Money (M2). Liquidity in the banking system could be flexibly adjusted on a daily basis through open market operations to increase or decrease the monetary base which would be transmitted to the rest of the economy through financial intermediation. Financial markets would then adjust longer-term interest rates …

The Impact Of Transaction Duration, Volume And Direction On Price Dynamics And Volatility, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka

Research Collection School Of Economics

We explore the role of trade volume, trade direction, and the duration between trades in explaining price dynamics and volatility using an Asymmetric Autoregressive Conditional Duration model applied to intraday transactions data. Our results suggest that volume, direction and duration are important determinants of price dynamics, while duration is also an important determinant of volatility. However, the impact of volume and direction on volatility is marginal after controlling for duration, and the impact of volume on volatility appears to be confined to periods of infrequent trading.

Quasi-Option Value Under Strategic Interactions, Tomoki Fujii, Ryuichiro Ishikawa

Research Collection School Of Economics

We consider a simple two-period model of irreversible investment under strategic interactions between two players. In this setup, we show that the quasi-option value may cause some conceptual difficulties. In case of asymmetric information, decentralized investment decisions fail to induce first-best allocations. Therefore a regulator may not be able to exercise the option to delay the decision to develop. We also show that information-induced inefficiency may arise in a game situation and that under certain assumptions inefficiency can be eliminated by sending asymmetric information to the players, even when the regulator faces informational constraints. Our model is potentially applicable to …

Impact Of Remittances On Schooling In The Philippines: Does The Relationship To The Household Head Matter?, Tomoki Fujii

Research Collection School Of Economics

The remittance have emerged as one of the most important sources of international flows. In the Philippines, the amount of remittance receipts has more than doubled over a decade since early 1990s. As a result, the way remittances are used has become extremely important for economic development. Unlike the previous studies, we allow for the potential heterogeneity in the impact of remittances across various relationships to the head of household and take into account the potential negative effects of being guarded by someone other than the parents. We find that the impact of remittances on schooling is generally positive and …

North–South Trade Liberalization And Returns To Skill In The South: The Case Of Mexico, Gautam Hazarika, Rafael Otero

School of Economics and Finance Faculty Publications

This study examines the effect of North American Free Trade Agreement (NAFTA), an instance of North–South trade liberalization, on returns to skill in Mexico. Mexico is abundant in low-skill workers relative to the US and Canada, and so, by the Heckscher–Ohlin–Samuelson trade model, NAFTA ought to have raised the relative earnings of low-skill workers, that is, lowered returns to skill in Mexico. Analysis of Mexican labour micro-data yields the finding that while returns to skill in industries producing tradeables have risen, ceteris paribus, since Mexico embarked upon trade liberalization by joining the GATT in 1986, this rise was less …

القياس والإفصاح المحاسبي للمسؤولية الاجتماعية في الوحدات الاقتصادية (دراسة تطبيقية في شركة أور العامة للصناعات الهندسية), سعود جايد شاكر, علي نعيم جاسم

Muthanna Journal of Administrative and Economics Sciences

تهدف هذه الدراسة إلى تحديد إطار مفاهيمي للقياس والإفصاح المحاسبي عن المسؤولية الاجتماعية من حيث المفهوم والمتغيرات ومجالات التطبيق، والتعرف على أساليب ومداخل القياس والإفصاح عن معلومات المسؤولية الاجتماعية في القوائم الختامية التي تعدها الوحدات الاقتصادية. كذلك تهدف الدراسة إلى إمكانية تطبيق نماذج للمحاسبة عن المسؤولية الاجتماعية تتفق مفاهيمها ومتغيراتها مع ظروف وتركيبة البنيان الاجتماعي والاقتصادي للشركات العاملة في القطاع الصناعي العراقي، وذلك بهدف تقويم الأداء الاجتماعي لتلك الشركات. تم تطبيق هذه الدراسة من خلال اختيار إحدى شركات القطاع الصناعي في العراق (شركة أور العامة للصناعات الهندسية) بوصفها عينة لإعداد القوائم الختامية الاجتماعية مثل قائمة التدفقات النقدية وقائمة النشاط الاقتصادي/الاجتماعي …

وسائل القياس والإفصاح في المحاسبة البيئية (دراسة تطبيقية في محطة توليد الطاقة الحرارية في الناصرية), علي نعيم جاسم

Muthanna Journal of Administrative and Economics Sciences

تهدف الدراسة الى بيان دور الوحدات الاقتصادية في المحافظة على البيئة واعتبارها جزءاً رئيسياً من اهدافها التي تسعى الى تحقيقها للارتقاء بمستوى الخدمات المقدمة لما لهذا الدور من أهمية في الحياة وخاصة في العراق الذي يعاني في الوقت الحاضر من بيئة ملوثة نسبياً. فقد وضع الباحث حلولاً لعملية القياس والافصاح عن التكاليف البيئية وخاصة في الشركات العامة التي تعمل في ظل ظروف صعبة وقاسية تفرضها اللوائح والقوانين. وفي اطار سعي الباحث لتحقيق هدف الدراسة استند الى الفرضية الرئيسية الاتية ((هناك علاقة وثيقة بين تحمل الوحدات الاقتصادية للكلف البيئية وبين المساهمة الكبيرة لها في مجال المحافظة على البيئة لتحقيق جزء من …

مخاطر التدقيق واثرها على جودة الاداء ومصداقية النتائج (دراسة تطبيقية في الشركة العامة للتجهيزات الزراعية ), ناظم شعلان جبار

Muthanna Journal of Administrative and Economics Sciences

مع التطور المتزايد أصبحت مخاطر التدقيق أمراً يهدد نتائج عمل مدقق الحسابات لذا أستوجب الأمر دراسة هذه المخاطر والعوامل المؤثرة فيها من خلال تحديدها وتقدير مستوياتها واحتمالات حدوثها واخذها بالحسبان عند التخطيط والتنفيذ لاجراءات التدقيق بهدف تقليل أثرها، لذا ينبغي التعرف عليها بفاعلية ودراسة العوامل المؤثرة فيها بغية تقدير درجات المخاطر والتعرف على المجالات التي ترتفع فيها واخذ المستويات المقدرة لها في الاعتبار واتخاذ كل ما من شأنه تخفيض حدة تأثيرها في القوائم المالية ومن ثم تقليص مخاطر إبداء رأي تدقيقي غير مناسب إلى أدنى مستوى ممكن ومقبول، ذلك لان رأي المدقق يتسم بالأهمية والخطورة وله تأثير في جهات عديدة، …

Forex Trading Using Metatrader 4 With The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy

Conference papers

This paper reports on the results of a research and development programme concerned with the analysis of currency pair exchange time series for Forex trading in an intensive applications and services environment. In particular, we present some of the preliminary results obtained for Forex trading using MetaTrader 4 with a new set of trend indicators deigned using a mathematical model that is based on the Fractal Market Hypothesis. This includes examples of various currency pair exchange rates considered over different time intervals and use of the indicators in a live trading environment to place a buy/sell order.

Currency Trading Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy

Articles

We report on a research and development programme in financial modelling and economic security undertaken in the Information and Communications Security Research Group (ICSRG, 2011) which has led to the launch of a new company - Currency Traders Ireland Limited - funded by Enterprise Ireland. Currency Traders Ireland Limited (CTI, 2011) has a fifty year exclusive license to develop a new set of indicators for analysing currency exchange rates (Forex trading). We consider the background to the approach taken and present examples of the results obtained to date.

Hedging Effectiveness In Crude Palm Oil Market., Rozaimah Zainudin

Student Works (2010-2019)

Abstract NA

The Performance Of Nigerian Stock Exchange Sectoral Indices: January 2009 December 2010, Alvan E. Ikoku, George Okorie

Bullion

The paper reviews the performance of the sectoral indices during the first twenty-four months of their existence, i.e., between their inception in January 2009 and December 2010. The authors seek to examine not only the raw performance of the indices but also their risk-adjusted performance. The results of the analysis will facilitate the allocation of capital by institutional as well as individual investors in the Nigerian equity market. The rest of the paper is organized as follows. Section 2 discusses the transformation of the indices and their correlation. In section 3, we examine the nominal performance of the sectoral indices …

Impact Of Banking Sector Reforms On The Nigerian Capital Market (Equities)., Peter A. Adekunle

Bullion

Following the outcome of the Special Joint Examination by the Central Bank of Nigeria (CBN) and Nigeria Deposit Insurance Corporation (NDIC), ten banks were indicted, out of which two were asked to recapitalize, while the Chief Executive Officers (CEOs) and Directors of the remaining eight were removed by CBN based on mismanagement and poor corporate governance. In order to protect the investors as well as prevent unprecedented dumping of the shares of the listed seven banks, two weeks of full suspension was imposed on trading of their shares on the stock market at various times. This paper attempts to determine …

The Role Of Economic Community Of West African States (Ecowas) In Promoting Borderless Trade In West Africa., Adam J. Akperan, Sanni Ganiyu Kayode

Bullion

The Economic Community of West African States (ECOWAS) is a regional group of fifteen countries, founded in 1975. Its mission is to promote economic integration in "all fields of economic activities, particularly industry, transport, telecommunications, energy, agriculture, natural resources, commerce, monetary and financial questions, social and cultural matters". This paper examines the role of CBN economy and monetary policies on the heels of borderless trade amongst the ECOWAS State. ECOWAS aims to promote peace, co-operation and integration in economic, social and cultural activity, ultimately leading to the establishment of an economic and monetary union through the total integration of the …

Analysis Of Revenue Generation As A Tool For Socio-Economic And Infrastructural Development In Nigeria, Obiechina M.E.

Bullion

The paper analyses the federal government revenue vis-àvis the provision of socio-economic Volume 34, No. 4 October - December 2010 and infrastructural development in Nigeria from 1970 2008, the centerpiece, which is improved productivity and standard of living. To this end, the paper is divided into five sections. Following this introductory section, section two explains the concept of government revenue and infrastructural development as well as theoretical and empirical literature. In section three, we examine the sources and structure of government revenue. Section four focuses on the trend in government revenue and expenditure and the state of some infrastructure in …

Oil And Gas Management In Nigeria: Lessons For Ghana, Omolara O. Akanji Mrs.

Bullion

This paper is to discuss the oil and gas management in Nigeria: Lessons for Ghana. The paper is structured into five parts with part 1 being the introduction while part 2 scoops the literature on the economics of natural resources and its management globally. Part 3 will situate the Nigeria's multifaceted crisis of oil and gas governance and all related issues. Part 4 will sieve out the lessons for Ghana while part 5 summarizes and concludes the paper.