Similar Search Results

Some financial implications of United States pension actuarial methods and assumptions

Gold, Jeremy - 2000

management while ignoring and contradicting contemporaneous developments in finance. This has distorted the accounting, tax and … finance lessons of Black (1980) and Tepper (1981) to "cash balance" pension plans, concluding that these plans can best serve … investing and smooth away the risks incurred without causing bias. Modern finance may correct this and inform future actuarial …

Persistent link: https://www.econbiz.de/10009439129

Cash-flow risks, financial leverage and the cross section of equity returns

Maia, Marcelo V - 2010

What is the cross-sectional relationship between financial leverage and expected equity returns? How is the empirical relationship associated with firm's financial decisions? This dissertation investigates the potential explanations for the flatness relation between financial leverage and...

Persistent link: https://www.econbiz.de/10009439187

Essays in Financial Econometrics

Hua, Jian - 2010

In the first chapter, I estimate dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and I provide a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. I...

Persistent link: https://www.econbiz.de/10009439200

Essays in Sovereign Credit Risk

Plank, Thomas J. - 2010

This dissertation investigates aspects of sovereign credit risk in advanced and emerging economies. It consists of two chapters.Chapter 1 studies the determinants of sovereign credit default swap (CDS) spreads for 16 advanced economies during the recent financial crisis. We document that the...

Persistent link: https://www.econbiz.de/10009439202

A Study of Intraday Volatility Trading Utilizing High Frequency Data and the Microstructure Effects of Implementation

Murray, Jennifer Wells - 2010

In this dissertation I examine an intraday volatility trading strategy by comparing two different measures of volatility: option-implied volatility and beta-implied volatility. The methodology of pairs trading is applied to these two measures of volatility and is empirically tested through the...

Persistent link: https://www.econbiz.de/10009440645

Stochastic Volatility Model with Jumps in Returns and Volatility: Performance and Implementation

Numatsi, Adjoa K - 2010

This thesis examines the performance and implementation of the stochastic volatility model with jumps in return and volatility (SVCJ) of Duffle et al. (2000), and compares it to a GARCH(1,1) to assess whether SVCJ is worth the effort needed for its usage; we then propose directives to ease its...

Persistent link: https://www.econbiz.de/10009440646

Analysis of the Optimum Capital Structure of the Firm under Arbitrage, Agency and Asymmetric Information Theories

Durdock, Joseph Gregory - 2010

Since the publication of the classical papers by Modigliani and Miller in 1958 and 1963, the relationship between the equity value of the firm and its capital structure has been continually studied by numerous scholars. Among other hypotheses, we examined arbitrage, agency, asymmetric...

Persistent link: https://www.econbiz.de/10009440651

China's new millennium financial liberalization programs: Economic risks to the Chinese retail investor

Costabile, M Audrey - 2008

This paper provides a detailed history and evolution of four new millennium liberalization programs implemented in China between 2003 and 2006: Non-tradable share reform, the Qualified Foreign Institutional Investor (QFII) program, the Renminbi currency revaluation, and the Qualified Domestic...

Persistent link: https://www.econbiz.de/10009440672

Macroeconometrics of investment and the user cost of capital

Chuaprapaisilp, Thethach - 2009

the real rental price of capital services or the after-tax costs of holding capital (interest/opportunity cost of finance …

Persistent link: https://www.econbiz.de/10009440673

On the duration of large current account imbalances

Kintanar, Kristine Angela Uy - 2009

The sustainability of "global imbalances" or large current account deficits are analyzed using duration or survival analysis models to determine the effect of key macroeconomic variables on the duration of large current account imbalances. For the emerging market economies most often associated...

Persistent link: https://www.econbiz.de/10009440674