Treasury Bond Illiquidity and Global Equity Returns

2014 ◽  
Vol 49 (5-6) ◽  
pp. 1227-1253 ◽  
Author(s):  
Ruslan Goyenko ◽  
Sergei Sarkissian
Keyword(s):  
Asset Pricing ◽  
Equity Returns ◽  
Asset Valuation ◽  
Macroeconomic Shocks ◽  
Country Level ◽  
Time Period ◽  
Treasury Bond ◽  
Using Data ◽  
The Impact ◽  
Asset Pricing Tests

AbstractIn this study, using data from 46 markets and a 34-year time period, we examine the impact of the illiquidity of U.S. Treasuries on global asset valuation. We find that it predicts equity returns in both developed and emerging markets. This predictive relation remains intact after controlling for various world- and country-level variables. Asset pricing tests further reveal that bond illiquidity is a priced factor even in the presence of other conventional risks. Since the illiquidity of Treasuries is known to reflect monetary and macroeconomic shocks, our results suggest that it can be considered a proxy for aggregate worldwide risks.

Deterring the development and use of nuclear weapons: a multi-level modeling approach

2017 ◽  
Vol 15 (4) ◽  
pp. 483-493
Author(s):  
Kathleen M Carley ◽  
Geoffrey P Morgan ◽  
Michael J Lanham
Keyword(s):  
Nuclear Weapons ◽  
Dynamic Network ◽  
Pacific Rim ◽  
Country Level ◽  
Dynamic Network Model ◽  
The Pacific ◽  
Stakeholder Model ◽  
Using Data ◽  
Multi Stakeholder ◽  
The Impact

We describe a multi-country, multi-stakeholder model for the accrual and use of nuclear weapons and illustrate the model’s value for addressing nuclear weapon proliferation issues using a historic Pacific Rim scenario. We instantiate the agent-based dynamic network model for information and belief diffusion using data from subject matter experts and data mined from open source news documents. We present the techniques that supported model instantiation. A key feature of this model and these techniques is enabling rapid model re-use through the ability to instantiate at two levels: generically and for specific cases. We demonstrate these generic and specific cases using a scenario regarding North Korea’s interest in nuclear weapons and the resulting impact on the Pacific Rim circa 2014, that is, prior to the fourth and fifth nuclear weapons tests by the Democratic People’s Republic of Korea. A key feature of this model is that it uses two levels of network interaction, the country level and the stakeholder level, thus supporting the inclusion of non-state actors and the assessment of complex scenarios. Using this model, we conducted virtual experiments in which we assessed the impact of alternative courses of action on the overall force posture and desire to develop and use nuclear weapons.

The impact of intra-EU migration on welfare chauvinism

2017 ◽  
Vol 38 (3) ◽  
pp. 389-417 ◽  
Author(s):  
Cornelius Cappelen ◽  
Yvette Peters
Keyword(s):  
Intergroup Contact ◽  
European Social Survey ◽  
Contact Theory ◽  
Intergroup Contact Theory ◽  
East European ◽  
Country Level ◽  
Level Data ◽  
European Immigrants ◽  
Using Data ◽  
The Impact

AbstractWe examine whether intra-EU migration affects welfare chauvinistic attitudes, i.e. the idea that immigrants’ access to the welfare system should be restricted. According to the in-group/out-group theory, migration can unleash feelings of insecurity and thus trigger welfare chauvinism. According to intergroup contact theory, welfare chauvinism should decrease when immigration is higher, because contact reduces prejudice and softens anti-immigrant stances. We test these theories using data from the European Social Survey 2008/2009, supplemented with country-level data, and analyse these data using a multilevel ordered logit approach. We find a negative relation between intra-EU immigration and welfare chauvinism, supporting the intergroup contact theory: in countries with more intra-EU migration, welfare chauvinism tends to be lower. Furthermore, the higher the percentage of East European immigrants compared to other EU immigrants, the higher the level of welfare chauvinism.

Homeownership and Financial Strain Following the Collapse of the Housing Market: A Comparative Study on Loan Delinquencies Between Black and White Households

2015 ◽  
Vol 26 (1) ◽  
pp. 79-93 ◽  
Author(s):  
Richard F. Bieker ◽  
Yoonkyung Yuh
Keyword(s):  
Housing Market ◽  
Housing Prices ◽  
Potential Effect ◽  
Financial Strain ◽  
Residential Housing ◽  
Black And White ◽  
Consumer Finances ◽  
Time Period ◽  
Using Data ◽  
The Impact

The objectives of this study were to evaluate the extent to which homeownership contributed to household financial strain as measured by loan delinquency after the onset of the recent housing market crash, and to examine if the impact of homeownership on household financial strain differed for Black and White households. Using data from the 2010 Survey of Consumer Finances, we found that, after controlling for other factors, a household's housing preferences had a potential effect on the likelihood of experiencing financial strain following the collapse of residential housing prices. In addition, Black homeowners were more likely to have experienced financial strain following the housing collapse than were White homeowners, regardless of the time period in which the home was purchased. The implications of the findings for public policy, personal financial planning and education, and further research are presented.

scholarly journals The Cross Section of Country Equity Returns: A Review of Empirical Literature

2019 ◽  
Vol 12 (4) ◽  
pp. 165 ◽  
Author(s):  
Zaremba
Keyword(s):  
Asset Pricing ◽  
Cross Section ◽  
Equity Returns ◽  
Empirical Literature ◽  
Fund Flows ◽  
Cross Sectional ◽  
Preparation Methods ◽  
Stock Level ◽  
Country Level ◽  
The Cross

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies.

The Impact of Delivery Synergies on Bidding in the Georgia School Milk Market

2006 ◽  
Vol 6 (1) ◽  
Author(s):  
Robert C. Marshall ◽  
Matthew E. Raiff ◽  
Jean-Francois Richard ◽  
Steven P. Schulenberg
Keyword(s):  
Public Schools ◽  
Cost Savings ◽  
Parametric Estimation ◽  
Sealed Bid ◽  
Time Period ◽  
Using Data ◽  
The Right ◽  
Milk Market ◽  
The Impact ◽  
Academic Year

Abstract Each summer milk processors around the country participate in sealed bid procurements for the right to provide public schools with milk throughout the subsequent academic year. School district contracts are an important part of vehicle routing problems that milk processors solve on an ongoing basis. There are allegedly substantial cost savings for a milk processor from servicing a district that is directly adjacent to one they already service. In this paper, following the work of Krishna and Rosenthal (1996), we construct a procurement model allowing for cost synergies. The equilibrium bid function maps directly into an empirical specification. Using data from a time period when bidders were allegedly acting non-cooperatively, our structural parametric estimation results give significant support for the presence of cost synergies in the bidding.

The Impact of Investability on Asset Valuation

2015 ◽  
Vol 50 (5) ◽  
pp. 1135-1163 ◽  
Author(s):  
Vihang Errunza ◽  
Hai Ta
Keyword(s):  
Asset Pricing ◽  
Economic Benefits ◽  
Equity Capital ◽  
American Depositary Receipts ◽  
Cost Of Equity Capital ◽  
Asset Valuation ◽  
Institutional Holdings ◽  
Depositary Receipts ◽  
The Cost ◽  
The Impact

AbstractWe develop an international asset pricing model to measure the impact of investability constraints on asset pricing. For a sample of 18 emerging markets, we use Standard & Poor’s investable weight factor (IWF) to show a 26.33% reduction in the cost of equity capital when non-investable firms become partially investable, with a further 12.51% reduction when partially investable firms become unrestricted. We demonstrate the generality and usefulness of the IWF by examining stocks with global/American depositary receipts and foreign institutional holdings as alternate investability proxies. Our results provide strong evidence of the economic benefits of market liberalization policies.

scholarly journals Parameter Learning in General Equilibrium: The Asset Pricing Implications

2016 ◽  
Vol 106 (3) ◽  
pp. 664-698 ◽  
Author(s):  
Pierre Collin-Dufresne ◽  
Michael Johannes ◽  
Lars A. Lochstoer
Keyword(s):  
Asset Pricing ◽  
General Equilibrium ◽  
Marginal Utility ◽  
Parameter Learning ◽  
Unknown Parameters ◽  
Macroeconomic Shocks ◽  
Long Run ◽  
Asset Pricing Puzzles ◽  
The Impact ◽  
Macroeconomic Risks

Parameter learning strongly amplifies the impact of macroeconomic shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models with unknown parameters governing either long-run economic growth, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively significant additional macroeconomic risks that help explain standard asset pricing puzzles. (JEL C52, D83, E13, E32, G12)

A multi-year SEM model predicting the impact of behavior attributes on overall patient satisfaction

2018 ◽  
Vol 35 (9) ◽  
pp. 2006-2034 ◽  
Author(s):  
Quinton Nottingham ◽  
Dana M. Johnson ◽  
Roberta Russell
Keyword(s):  
Patient Experience ◽  
Latent Variables ◽  
Patient Flow ◽  
Third Party ◽  
Content Type ◽  
High Expectations ◽  
Medical Clinics ◽  
Time Period ◽  
Using Data ◽  
The Impact

Purpose Pressure from competition; inflexible third-party reimbursements; greater demand from government, regulatory and certifying agencies; discerning patients; and the quest of healthcare entities for greater profitably place demands and high expectations for service quality impacting overall patient experience. Extending a prior multivariate, single-period model of varied medical practices predicting patient experience to a three-year time period to understand whether there was a change in overall assessment using data analytics. The paper aims to discuss these issues. Design/methodology/approach SEM was employed on a per year and aggregated, three-year basis to gain insights into qualitative psychometric constructs predicting overall patient experience and strength of the relationships. Findings Statistically significant differences were uncovered between years indicating the strength of the relationships of latent variables on overall performance. Research limitations/implications Study focused on data gathered from a questionnaire mailed to patients who visited various outpatient medical clinics in a rural community with over 4,000 responses during the three-year study period. A higher percentage of female respondents over the age of 45 may limit the generalizability of the findings. Practical implications Practitioners can gain a broader understanding of different factors influencing overall patient experience. Administrative processes associated with the primary care provider are inconsequential. Patients are not as concerned with patient flow as they are with patient safety and health. Originality/value This research informs healthcare quality management of psychometrics and analytics to improve the overall patient experience in outpatient medical clinics.

Accent Policy and Accent Modification Enterprises as Potential Indicators of Intercultural Power Relations: A Call for an Updated Research Agenda

2013 ◽  
Vol 3 (1) ◽  
pp. 22-33 ◽  
Author(s):  
Brynne D. Ovalle ◽  
Rahul Chakraborty
Keyword(s):  
International Relations ◽  
Identity Construction ◽  
Social Theory ◽  
Power Relations ◽  
Linguistic Diversity ◽  
Cultural Organization ◽  
Using Data ◽  
The Individual ◽  
The Impact ◽  
The Relationship

This article has two purposes: (a) to examine the relationship between intercultural power relations and the widespread practice of accent discrimination and (b) to underscore the ramifications of accent discrimination both for the individual and for global society as a whole. First, authors review social theory regarding language and group identity construction, and then go on to integrate more current studies linking accent bias to sociocultural variables. Authors discuss three examples of intercultural accent discrimination in order to illustrate how this link manifests itself in the broader context of international relations (i.e., how accent discrimination is generated in situations of unequal power) and, using a review of current research, assess the consequences of accent discrimination for the individual. Finally, the article highlights the impact that linguistic discrimination is having on linguistic diversity globally, partially using data from the United Nations Educational, Scientific and Cultural Organization (UNESCO) and partially by offering a potential context for interpreting the emergence of practices that seek to reduce or modify speaker accents.

Interculturalism and the Acceptance of Minority Groups

2020 ◽  
Vol 51 (2) ◽  
pp. 135-140 ◽  
Author(s):  
Maykel Verkuyten ◽  
Kumar Yogeeswaran
Keyword(s):  
Minority Groups ◽  
Psychological Research ◽  
Survey Experiment ◽  
Social Psychological ◽  
Negative Attitudes ◽  
Positive Attitudes ◽  
Social Psychological Research ◽  
Using Data ◽  
The Impact ◽  
Situational Effect

Abstract. Multiculturalism has been criticized and rejected by an increasing number of politicians, and social psychological research has shown that it can lead to outgroup stereotyping, essentialist thinking, and negative attitudes. Interculturalism has been proposed as an alternative diversity ideology, but there is almost no systematic empirical evidence about the impact of interculturalism on the acceptance of migrants and minority groups. Using data from a survey experiment conducted in the Netherlands, we examined the situational effect of promoting interculturalism on acceptance. The results show that for liberals, but not for conservatives, interculturalism leads to more positive attitudes toward immigrant-origin groups and increased willingness to engage in contact, relative to multiculturalism.

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