A Test Of The Modigliani-Miller Theorem, Dividend Policy And Algorithmic Arbitrage In Experimental Asset Markets,
2020
University of Luxembourg
A Test Of The Modigliani-Miller Theorem, Dividend Policy And Algorithmic Arbitrage In Experimental Asset Markets, Tibor Neugebauer, Jason Shachat, Wiebke Szymczak
ESI Working Papers
Modigliani and Miller showed that the market value of the company is in dependent of its capital structure, and suggested that dividend policy makes no difference to this law of one price. We experimentally test the MM theorem in a complete market with two simultaneously traded assets, employing two experimental treatment variations. The first variation involves the dividend stream. According to this variation the dividend payout order is either identical or independent. The second variation involves the market participation, or not, of an algorithmic arbitrageur. We find that Modigliani-Miller's law of one price can be supported on average with or …
The Impact Of The Legalization Of Marijuana In Colorado On Education Funding And Car Crash Fatality Rates,
2020
University of Lynchburg
The Impact Of The Legalization Of Marijuana In Colorado On Education Funding And Car Crash Fatality Rates, Lauren Mcdonald
Undergraduate Theses and Capstone Projects
The objective of this thesis is to investigate and report the impact of the legalization of marijuana on the funding of education and car crash fatality rates in the state of Colorado. Legalization has been a controversial topic, and marijuana has already been legalized for recreational use in 11 states, and medically in 22 states across the United States. The tax revenues from marijuana are used in school funding, though the allocations of these funds have varied in different years. As we approach the impact that legalization has had on Colorado, it will be interesting to see if the newly …
Stock Liquidity Of Malaysian Public Listed Firms,
2020
Universiti Malaya
Stock Liquidity Of Malaysian Public Listed Firms, Yee Ee Chia
Student Works (2020-2029)
This thesis is motivated by the limited research on the liquidity of Malaysian public listed firms, the growing number of liquidity horseraces, the recent data commercialization by Bursa Malaysia, and liquidity-enhancing policies being spearheaded mainly by stock exchange regulators in emerging markets. By assembling information that covers 1250 public listed non-financial firms over 2000–2015, the thesis conducts three empirical analyses on the determinants of firm liquidity and the effects of higher liquidity on firm valuation, where liquidity is proxied by the “Closing Percent Quoted Spreads” (CPQS). First, the thesis revisits the standard liquidity model and advocates the inclusion of shareholder …
Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression,
2020
Singapore Management University
Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Degui Li, Peter C. B. Phillips, Jiti Gao
Research Collection School Of Economics
This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of the data, we allow the regressors to be cointegrated and to embody a mixture of stochastic and deterministic trends, complications which result in asymptotic degeneracy of the kernel-weighted signal matrix. To address these complications new local and global rotation techniques are introduced to transform the covariate space to accommodate multiple scenarios of induced degeneracy. Under regularity conditions we derive asymptotic results that differ …
Rhode Island Current Conditions Index -- March 2020,
2020
University of Rhode Island
Rhode Island Current Conditions Index -- March 2020, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
The Classical Theory Of Supply And Demand,
2020
Chapman University
The Classical Theory Of Supply And Demand, Sabiou M. Inoua, Vernon L. Smith
ESI Working Papers
This paper introduces and formalizes the classical view on supply and demand, which, we argue, has an integrity independent and distinct from the neoclassical theory. Demand and supply, before the marginal rev-olution, are defined not by an unobservable criterion such as a utility func-tion, but by an observable monetary variable, the reservation price: the buyer’s (maximum) willingness to pay (WTP) value (a potential price) and the seller’s (minimum) willingness to accept (WTA) value (a potential price) at the marketplace. Market demand and supply are the cumulative distri-bution of the buyers’ and sellers’ reservation prices, respectively. This WTP-WTA classical view of …
Let’S Chat... When Communication Promotes Efficiency In Experimental Asset Markets,
2020
Chapman University
Let’S Chat... When Communication Promotes Efficiency In Experimental Asset Markets, Brice Corgnet, Mark Desantis, David Porter
ESI Working Papers
The growing prevalence of stock market chat rooms and social media suggests communication between traders may affect market outcomes. Using data from a series of laboratory experiments, we study the causal effect of trader communication on the price efficiency of markets. We show that communication allows markets to convey private information more effectively. This effect is most pronounced when the communication platform publicizes a reputation score that might identify a person as not being truthful. This illustrates the need for market designers to consider social interactions when designing market institutions to leverage the social motives that foster information aggregation.
Estimation Of Fixed Effects Spatial Dynamic Panel Data Models With Small T And Unknown Heteroskedasticity,
2020
Singapore Management University
Estimation Of Fixed Effects Spatial Dynamic Panel Data Models With Small T And Unknown Heteroskedasticity, Liyao Li, Zhenlin Yang
Research Collection School Of Economics
We consider the estimation and inference of fixed effects (FE) spatial dynamic panel data (SDPD) models under small T and unknown heteroskedasticity by extending the M-estimation strategy for homoskedastic FE-SDPD model of Yang (2018, Journal of Econometrics). Unbiased estimating equations are obtained by adjusting the conditional quasi-score functions given the initial observations, leading to M-estimators that are free from the initial conditions and robust against unknown cross-sectional heteroskedasticity. Consistency and asymptotic normality of the proposed M-estimator are established. The standard errors are obtained by representing the estimating equations as sums of martingale differences. Monte Carlo results show that the proposed …
Specification Tests For Temporal Heterogeneity In Spatial Panel Data Models With Fixed Effects,
2020
Singapore Management University
Specification Tests For Temporal Heterogeneity In Spatial Panel Data Models With Fixed Effects, Yuhong Xu, Zhenlin Yang
Research Collection School Of Economics
We propose adjusted quasi score (AQS) tests for testing the existence of temporal heterogeneity in slope and spatial parameters in spatial panel data (SPD) models, allowing for the presence of individual-specific and/or time-specific fixed effects (or in general intercept heterogeneity). The SPD model with spatial lag is treated in detail by first considering the model with individual fixed effects only, and then extending it to the model with both individual and time fixed effects. Two types of AQS tests (naïve and robust) are proposed, and their asymptotic properties are presented. These tests are then fully extended to SPD models with …
Hybrid Stochastic Local Unit Roots,
2020
Singapore Management University
Hybrid Stochastic Local Unit Roots, Offer Lieberman, Peter C. B. Phillips
Research Collection School Of Economics
Two approaches have dominated formulations designed to capture small departures from unit root autoregressions. The first involves deterministic departures that include local-to-unity (LUR) and mildly (or moderately) integrated (MI) specifications where departures shrink to zero as the sample size n -> infinity. The second approach allows for stochastic departures from unity, leading to stochastic unit root (STUR) specifications. This paper introduces a hybrid local stochastic unit root (LSTUR) specification that has both LUR and STUR components and allows for endogeneity in the time varying coefficient that introduces structural elements to the autoregression. This hybrid model generates trajectories that, upon normalization, …
An Empirical Study Of The Sentiment Capital Asset Pricing Model,
2020
University of Alabama - Tuscaloosa
An Empirical Study Of The Sentiment Capital Asset Pricing Model, Soroush Ghazi, Mark Schneider
ESI Working Papers
What is market sentiment? This paper takes a new approach to this question and de- rives a formula for market sentiment as a function of the risk-free rate, the price/dividend ratio, and the conditional stock market volatility. The formula is derived from a representative agent with a prospect theory probability weighting function. We estimate the model and find that our sentiment measure correlates positively with the leading sentiment indexes. The model matches the equity premium while generating a low and stable risk-free rate with low risk aversion. We also apply the model to explain other anomalies for the aggregate stock …
Categorical Salience Theory,
2020
Chapman University
Categorical Salience Theory, Mark Schneider, Cary Deck, Patrick Dejarnette
ESI Working Papers
Monetary lotteries are the overwhelmingly predominant tool for understanding decisions under risk. However, many real-world decisions concern multidimensional out- comes involving different goods. Recent studies have tested whether people treat multidimensional risky choices in the same manner as unidimensional monetary lotteries and found that choices over consumer goods are less risk-averse and more consistent with expected utility theory than choices over monetary lotteries. While these puzzling results cannot be explained by any standard model of decision making, we demonstrate that these findings are predicted by a salience-based model of category-dependent preferences that also explains the classic anomalies for choices under …
Rhode Island Current Conditions Index -- February 2020,
2020
University of Rhode Island
Rhode Island Current Conditions Index -- February 2020, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Working Too Much For Too Little: Stochastic Rewards Cause Work Addiction,
2020
Chapman University
Working Too Much For Too Little: Stochastic Rewards Cause Work Addiction, Brice Corgnet, Simon Gaechter, Roberto Hernán González
ESI Working Papers
People are generally assumed to shy away from activities generating stochastic rewards, thus re-quiring extra compensation for handling any additional risk. In contrast with this view, neurosci-ence research with animals has shown that stochastic rewards may act as a powerful motivator. Applying these ideas to the study of work addiction in humans, and using a new experimental paradigm, we demonstrate how stochastic rewards may lead people to continue working on a re-petitive and effortful task even after monetary compensation becomes saliently negligible. In line with our hypotheses, we show that persistence on the work task is especially pronounced when the …
Harnessing The Power Of Social Incentives To Curb Shirking In Teams,
2020
Chapman University
Harnessing The Power Of Social Incentives To Curb Shirking In Teams, Brice Corgnet, Brian C. Gunia, Roberto Hernán González
ESI Working Papers
We study several solutions to shirking in teams that trigger social incentives by reshaping the workplace social context. Using an experimental design, we manipulate social pressure at work by varying the type of workplace monitoring and the extent to which employees engage in social interaction. This design allows us to assess the effectiveness as well as the popularity of each solution. Despite similar effectiveness in boosting productivity across solutions, only organizational systems involving social interaction (via chat) were at least as popular as a baseline treatment. This suggests that any solution based on promoting social interaction is more likely to …
Adam Smith’S Theory Of Value: A Reappraisal Of Classical Price Discovery,
2020
Chapman University
Adam Smith’S Theory Of Value: A Reappraisal Of Classical Price Discovery, Sabiou M. Inoua, Vernon L. Smith
ESI Working Papers
The relevance of Adam Smith for understanding human morality and sociality is recognized in the growing interest in his work on moral sentiments among scholars of various academic backgrounds. But, paradoxically, Adam Smith’s theory of economic value enjoys a less prominent stature today among economists, who, while they view him as the “father of modern economics”, considered him more as having had the right intuitions about a market economy than as having developed the right concepts and the technical tools for studying it. Yet the neoclassical tradition, which replaced the classical school around 1870, failed to provide a satisfactory theory …
Local Powers Of Least-Squares-Based Test For Panel Fractional Ornstein-Uhlenbeck Process,
2020
Singapore Management University
Local Powers Of Least-Squares-Based Test For Panel Fractional Ornstein-Uhlenbeck Process, Katsuto Tanaka, Weilin Xiao, Jun Yu
Research Collection School Of Economics
Based on the least squares estimator, this paper proposes a novel method to test the sign of the persistence parameter in a panel fractional Ornstein-Uhlenbeck process with a known Hurst parameter H. Depending on H ∈ (1/2, 1), H = 1/2, or H ∈ (0, 1/2), three test statistics are considered. In the null hypothesis the persistence parameter is zero. Based on a panel of continuous record of observations, the null asymptotic distributions are obtained when T is fixed and N is assumed to go to infinity, where T is the time span of the sample and N is the …
Corrigendum To "On Time-Varying Factor Models: Estimation And Testing" [J. Econometrics 198 (2017) 84-101],
2020
Singapore Management University
Corrigendum To "On Time-Varying Factor Models: Estimation And Testing" [J. Econometrics 198 (2017) 84-101], Liangjun Su, Xia Wang
Research Collection School Of Economics
We note that Su and Wang (2017, On Time-varying Factor Models: Estimation and Testing, Journal of Econometrics 198, 84-101) ignore the bias terms when estimating the time-varying factor models. In this note, we correct the theoretical results on the estimation of time-varying factor models. The asymptotic results for testing the correct specification of time invariant factor loadings are not affected.
Essays On The Application Of The Machine Learning Methods In Finance And Policy Evaluation,
2020
CUNY Graduate Center
Essays On The Application Of The Machine Learning Methods In Finance And Policy Evaluation, Olga Guska
Dissertations, Theses, and Capstone Projects
In the age when "Big Data" is becoming almost a household word, such abundance of information in different forms and representations can be of a great help for one's decision-making let it be a trader betting on a stock, or a policy-maker assessing the potential impact of proposed regulation. Whereas traditional economic research is primarily based on the use of numerical data continuous or discrete, there is a great deal of useful information that can be extracted from text data. Such information can power novel identification strategies or help perceive solutions from a different angle, but observed volumes of such …
An Empirical Analysis Of The Nba Draft From 2006- 2014,
2020
Bryant University
An Empirical Analysis Of The Nba Draft From 2006- 2014, Lloyd Ellison
Empirical Economic Bulletin, An Undergraduate Journal
This paper investigates how well the NBA (National Basketball Association) does at drafting talent that succeeds. There has always been a question of if NBA prospects can have their NBA talent forecasted. The study seeks to compare different draft years and compare if the model can determine which athletes will become successful. The study seeks to use college statistics as well as the NBA draft combine data (which includes height, weight, wingspan, etc.) The study will be cross-sectional to get the best view of a bunch of players and because depth of talent can vary year to year
