Matching Items (23)
Description
Schennach (2007) has shown that the Empirical Likelihood (EL) estimator may not be asymptotically normal when a misspecified model is estimated. This problem occurs because the empirical probabilities of individual observations are restricted to be positive. I find that even the EL estimator computed without the restriction can fail to be asymptotically normal for misspecified models if the sample moments weighted by unrestricted empirical probabilities do not have finite population moments. As a remedy for this problem, I propose a group of alternative estimators which I refer to as modified EL (MEL) estimators. For correctly specified models, these estimators have the same higher order asymptotic properties as the EL estimator. The MEL estimators are obtained by the Generalized Method of Moments (GMM) applied to an exactly identified model. The simulation results provide promising evidence for these estimators. In the second chapter, I introduce an alternative group of estimators to the Generalized Empirical Likelihood (GEL) family. The new group is constructed by employing demeaned moment functions in the objective function while using the original moment functions in the constraints. This designation modifies the higher-order properties of estimators. I refer to these new estimators as Demeaned Generalized Empirical Likelihood (DGEL) estimators. Although Newey and Smith (2004) show that the EL estimator in the GEL family has fewer sources of bias and is higher-order efficient after bias-correction, the demeaned exponential tilting (DET) estimator in the DGEL group has those superior properties. In addition, if data are symmetrically distributed, every estimator in the DGEL family shares the same higher-order properties as the best member.
ContributorsXiang, Jin (Author) / Ahn, Seung (Thesis advisor) / Wahal, Sunil (Thesis advisor) / Bharath, Sreedhar (Committee member) / Mehra, Rajnish (Committee member) / Tserlukevich, Yuri (Committee member) / Arizona State University (Publisher)
Created2013
Description
The Chinese capital market is characterized by high segmentation due to governmental regulations. In this thesis I investigate both the causes and consequences of this market segmentations. Specifically, I address the following questions: (1) to which degree this capital market segmentation is caused by the fragmented regulations in China, (2) what are the key characteristics of this market segmentation, and (3) what are the impacts of this market segmentation on capital costs and resources allocations. Answers to these questions can have important implications for Chinese policy makers to improve capital market regulatory coordination and efficiency. I organize this thesis as follows. First, I define the concepts of capital market segmentation and fragmented regulation based on literature reviews and theoretical analysis. Next, on the basis of existing theories and methods in finance and economics, I select a number of indicators to systematically measure the degree of regulatory segmentation in China’s capital market. I then develop an econometric model of capital market frontier efficiency analysis to calculate and analyze China’s capital market segmentation and regulatory fragmentation. Lastly, I use the production function analysis technique and the even study method to examine the impacts of fragmented regulatory segmentation on the connections and price distortions in the equity, debt, and insurance markets. Findings of this thesis enhance the understanding of how institutional forces such as governmental regulations influence the function and efficiency of the capital markets.
ContributorsJia, Shaojun (Author) / Hwang, Yuhchang (Thesis advisor) / Chen, Hong (Committee member) / Wahal, Sunil (Committee member) / Arizona State University (Publisher)
Created2015
Description
Merton (1987) predicts that idiosyncratic risk can be priced. I develop a simple equilibrium model of capital markets with information costs in which the idiosyncratic risk premium depends on the average level of idiosyncratic volatility. This dependence suggests that the idiosyncratic risk premium varies over time. I find that in U.S. markets, the covariance between stock-level idiosyncratic volatility and the idiosyncratic risk premium explains future stock returns. Stocks in the highest quintile of the covariance between the volatility and risk premium earn an average 3-factor alpha of 70 bps per month higher than those in the lowest quintile.
ContributorsXie, Daruo (Author) / Wahal, Sunil (Thesis advisor) / Mehra, Rajnish (Thesis advisor) / Arizona State University (Publisher)
Created2015
Description
This paper examines dealers' inventory holding periods and the associated price markups on corporate bonds from 2003 to 2010. Changes in these measures explain a large part of the time series variation in aggregate corporate bond prices. In the cross-section, holding periods and markups overshadow extant liquidity measures and have significant explanatory power for individual bond prices. Both measures shed light on the credit spread puzzle: changes in credit spread are positively correlated with changes in holding periods and markups, and a large portion of credit spread changes is explained by them. The economic effects of holding periods and markups are particularly sharp during crisis periods.
ContributorsQian, Zhiyi (Author) / Wahal, Sunil (Thesis advisor) / Bharath, Sreedhar (Committee member) / Coles, Jeffrey (Committee member) / Mehra, Rajnish (Committee member) / Arizona State University (Publisher)
Created2012
Description
This project examines the secretive world of the Venture Capital Industry specifically focusing on the ideology of gender inequality. Through research it has been found that females within the industry at the partnership level have actually decreased. By completing a literature review, we found that there were several biases and stereotypes that are prevalent within the industry and could be contributing factors for the decreasing participation. Following our literature review, we focused on a sample of 100 from the LPJ Index, and gathered data on all individuals listed, those at the partnership level and all other individuals within the industry. Through analyzing our data we found that female participation at the partner level is low and more importantly that 68% of firms do not even have a female partner in their ranks. We found that male and female partners have relatively the same education and the same areas of interest, which should suggest that they are on the same playing field, which is clearly not represented in the partnership composition, where males are dominating the industry. These findings lend credence to some of the deep rooted stereotypes that are facing females in the Venture Capital Industry and could explain why there are not many opportunities for them. Through future research and participation from firms to actively help increase the opportunities for women, the gender inequality that is facing the Venture Capital Industry can begin to narrow.
ContributorsBaker, Audree (Co-author) / McCormick, Bobby (Co-author) / Lee, Peggy (Thesis director) / Peterson, Suzanne (Committee member) / Barrett, The Honors College (Contributor) / College of Letters and Sciences (Contributor) / W. P. Carey School of Business (Contributor) / Department of Management (Contributor) / School of Social and Behavioral Sciences (Contributor)
Created2015-05
Description
This paper looks at defined contribution 401(k) plans in the United States to analyze whether or not participants have plans with better plan characteristics defined in this study by paying more for administration services, advisory services, and investments. By collecting and analyzing Form 5500 and audit data, I find that there is no relation between how much a plan and its participants are paying for recordkeeping, advisory, and investment fees and the analyzed characteristics of the plan that they receive in regards to active/passive allocation, revenue share, and the performance of the funds.
ContributorsAziz, Julian (Author) / Wahal, Sunil (Thesis director) / Bharath, Sreedhar (Committee member) / Barrett, The Honors College (Contributor) / Department of Information Systems (Contributor) / Department of Finance (Contributor)
Created2015-05
Description
In a global environment, innovation has become especially important to remain competitive in the market. Many factors affect the rate of innovation. Specifically, national culture significantly impacts a nation's ability to innovate. Using Hofstede's cultural dimensions [Power Distance, Individualism, Masculinity, Uncertainty Avoidance], this research attempts to explain a culture's effects on innovation. Based on data from the Organization for Economic Cooperation and Development (OECD), countries showing higher levels of innovation correlate with better quality of life and profitability amongst corporations in countries. Organizations can use the correlations identified between each of Hofstede's frameworks to improve company culture and increase rates of innovation. A low Power Distance and Uncertainty Avoidance coupled with an Individualistic culture had the largest positive effect on innovation.
ContributorsMccormick, Alysa Lauren (Author) / Lee, Peggy (Thesis director) / LePine, Marcie (Committee member) / W. P. Carey School of Business (Contributor, Contributor) / Department of Management and Entrepreneurship (Contributor) / Barrett, The Honors College (Contributor)
Created2017-05
Description
The purpose of this thesis is to investigate the history of the Bitcoin arbitrage premium to see if the possibility of 'risk-free' gains existed previously and whether or not the opportunity is still present today. It investigates market structure and price discrepancies in $147B of trading volume across 53 different exchanges between July 2010 and February 2017. This paper aggregates exchange trading into five minute buckets of transaction volume in order to see what exchange volume could have been successfully arbitraged within the context of two cases. The first requires trades to close within the same 5-minute interval and the second requires a 10-minute delay before the position is closed. It finds that the monthly average spreads of these cases have fallen below 3% in 2017 from nearly 10% in 2010. Once exchange fees are included, these spreads fall below 2% on average.
ContributorsNowicki, Gregory Arthur (Author) / Wahal, Sunil (Thesis director) / Simonson, Mark (Committee member) / School of Mathematical and Statistical Sciences (Contributor) / Department of Finance (Contributor) / Barrett, The Honors College (Contributor)
Created2017-05
Description
The purpose of this research is to define significant explanatory factors behind differences in work preferences across country of origin, gender, and generation. We conducted a survey through Qualtrics, which consisted of 45 questions. The survey was administered to men and women who were U.S. citizens and non-US citizens and who were from two pre-defined generational groups: Generation X and Generation Z. Furthermore, the questions were intended to determine different work preferences in Hofstede's Cultural Dimensions (Power Distance, Masculinity/Femininity, Individualism/Collectivism, Uncertainty Avoidance), McClelland's Motivational Theory, Alpha/Beta Work Values, and Leadership Traits from the GLOBE study. We also had the opportunity to travel to Tokyo, Japan in December 2016 to gather qualitative research data regarding individuals' opinions and experiences in cultural and gender differences in the workplace. We were able to support hypotheses regarding Hofstede's Cultural Dimensions, Alpha and Beta Values, and Leadership Traits specifically across our gender and generational cohorts. Findings from the study indicate significant variations between all three cohorts. Our literature and hypotheses review, methodology, limitations, practical implications in addition to future research to expand our study will be discussed within this text. We hope to provide context and insight into how businesses of the twenty-first century can be inclusive, fair, and profitable amidst a changing workforce and a host of global factors that are constantly refining the multinational company.
ContributorsJirak, Matthew (Co-author) / Vogliotti-Simental, Hector (Co-author) / LePine, Marcie (Thesis director) / Lee, Peggy (Committee member) / Department of Supply Chain Management (Contributor) / Department of Management and Entrepreneurship (Contributor) / W. P. Carey School of Business (Contributor) / Department of Finance (Contributor) / Barrett, The Honors College (Contributor)
Created2016-12
Description
Globalization has necessitated cross-cultural communication among groups and individuals alike, often beginning with management. This project considers how the degree of Power Distance, one of Hofstede's cultural dimensions, may change over time as a result of exposure to different, and often opposing, cultural values. We conducted two surveys 12 weeks apart collecting an initial sample of 317 and retaining a secondary sample of 142. We gathered data on demographics, education, on-campus involvement, cultural dimensions, and levels of comfort with different cultures. Through data analysis we found that as a result of exposure to different cultural values, cultural groups adjust their own views on Power Distance. Specifically, we found that the Anglo cultural group and the international cultural subgroup that had been living in the U.S. for less than 10 years trended towards each other on levels of Power Distance. We also found that international female students adjusted to new cultural surroundings faster than their male counterparts. These discoveries have led us to conclusions regarding the influence of awareness of other cultural values through international exposure, specifically that of Power Distance, as well as male versus female differences in cultural adjustment, and how differing views might trend towards each other with recurrent interaction.
ContributorsNiren, Alyssa (Co-author) / Davidson, Rachel (Co-author) / Lee, Peggy (Thesis director) / Zhang, Zhen (Committee member) / Department of Supply Chain Management (Contributor) / School of Mathematical and Statistical Sciences (Contributor) / School of International Letters and Cultures (Contributor) / Department of Information Systems (Contributor) / W. P. Carey School of Business (Contributor) / Barrett, The Honors College (Contributor)
Created2017-05