Matching Items (26)
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 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
This thesis explores cybersecurity as a profession and whether it belongs in academia. It also explores exactly how it should be implemented into universities. Whether in a bachelor's program or master's program, cybersecurity degree or cybersecurity concentration, engineering school or business school, cybersecurity has a place in higher education that plays an integral role in helping fix the issue of a lack of cybersecurity professionals. At Arizona State University, a cybersecurity concentration currently exists in the engineering school at both the bachelor's and master's level as well as the business school at the bachelor level. The one location it is missing from is the master's level of the business school. The goal of this report is to suggest a change to the specific curriculum in the Information Systems Department at the W.P. Carey School of Business. This thesis compares the curriculum of the Master of Science in Information Management (MSIM) program at Arizona State to eight other programs around the country that either offer a cybersecurity concentration option, offer cybersecurity degrees, or have highly ranked MSIM programs. A new curriculum is recommended that includes greater flexibility for students in customizing their education to specific career fields within information systems, offers multiple certificate options including cybersecurity, and better matches what the other highly ranked programs are offering to students. This curriculum is not only better for students attending or seeking Arizona State University but better for the University itself. It offers a more well-rounded scope of topics than the current program does while maintaining the identity and strengths of the current program.
ContributorsWelcome, Anthony (Author) / Sopha, Matthew (Thesis director) / Mazzola, Daniel (Committee member) / Department of Information Systems (Contributor) / Barrett, The Honors College (Contributor)
Created2018-12
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 experiment was to research using Virtual Reality (VR) as a way for a home builder to experience their unbuilt home, similarly to home shoppers experiencing built homes through open houses and tours. It discusses the ideas and technologies involved, the process for developing a home in VR, and the observations found from demoing it to people. The research was started based on the "presence" effect in VR. Presence describes the feeling when the user is convinced that they are truly in the virtual world. The research conducted found that the main immersion creator and breaker is the interactivity capable in the virtual home. Through demoing a virtual home, it was discovered that the user was less sensitive to the visual quality of the house, and more sensitive to any inconsistent interactions with the house. If the user could physically open a door, but then not a drawer, they were shaken out of their presence. The research conducted also found that VR can provide enough immersion to make the home owner feel "present" in their new home if the application is built with a focus on consistent interactions throughout the environment. This application is capable of severely disrupting the current market climate and reshaping the way home builders decide what house they want to build.
ContributorsConigliari, Jason (Author) / Mazzola, Daniel (Thesis director) / Ahmad, Altaf (Committee member) / Department of Information Systems (Contributor) / Barrett, The Honors College (Contributor)
Created2016-12
Description
This work presents a client with a unique business problem with the creation of a user friendly check-in system and more specifically an application that would replace the current manual system that is in place. Two possibilities were analyzed and considered in order to reduce reliance on paper tracking. Initially a mobile application was considered where only users who have the QR code can access through PhoneGap with a barcode scanner. The second possibility was taking the initial plan and expanding it into a fully responsive website with strict user access control that could go from desktop, to laptop, to tablet, and to phones. This would allow users to access the application from something other than a mobile device.
ContributorsLebratti, Thalia Karesse (Author) / Ahmad, Altaf (Thesis director) / Mazzola, Daniel (Committee member) / School of Historical, Philosophical and Religious Studies (Contributor) / Department of Information Systems (Contributor) / Barrett, The Honors College (Contributor)
Created2016-12
Description
The purpose of this research paper is to address the gap between programmers' capability to develop well-designed websites and the shabby designs of the websites they actually produce. This paper will first address what constitutes a poor website design and what constitutes a good website design. I will research what academia and popular opinion state are taboo elements that condemn a website's design choices and what they extoll as good website design choices. This includes an objective evaluation of both poorly-designed websites and well-designed websites. Following that, this paper will observe the cases of acclaimed and basic programmers and developers who produce incredible technologies while their website development work remains shoddy. I hope to glean some insight into why this performance gap exists. Ultimately, I will create wireframe designs for my own website, demonstrating the elements of a well-designed website in order to address everything I have learned.
ContributorsPandey, Ainesh (Author) / Anderson, Dennis (Thesis director) / Mazzola, Daniel (Committee member) / Department of Information Systems (Contributor) / Computer Science and Engineering Program (Contributor) / Barrett, The Honors College (Contributor)
Created2016-05