Does Risk Pay? An Analysis of Short Gamma Trading Strategies and Volatility Forecasting in the Swaptions Market
by Tasha Staer Bollerslev and Michael Scott Kuritzky Abstract We evaluate short gamma trading strategies in the interest rate swaptions market from January 4th, 1999 to January 19th, 2007, and test the effectiveness of swaption proprietary forecasted volatility at predicting future realized volatility. We find that swaptions market proprietary forecasted volatility is an effective estimator; […]
How Information from a Strategic Alliance Network Relates to Future Acquisition Performance in the Biotechnology and Pharmaceutical Industries
by Stephen Raymond Abstract Acquisitions in the pharmaceutical and biotechnology field have been fueled by a variety of factors ranging from riding strong equity markets to lucid managerial hubris. In all cases, asymmetric information, specifically the moral hazard problem between acquiring and target firms, played large roles in the final value of any acquisition; target […]
Determinants of Automobile Demand and Implications for Hybrid-Electric Market Penetration
by Sruthi M Thatchenkery Abstract This paper investigates market receptivity to hybrid-electric vehicles by using cross-sectional data on vehicle registrations to estimate demand functions for the overall market, the hybrid market, and specialized vehicle segments. Each specification features intrinsic product attributes such as fuel efficiency and horsepower, while the hybrid specification also includes external influences […]
Undue Burdens: The Effect of Abortion Restrictions on Foster Care Entry Rates
by Sara Sutherland Abstract Since the 1973 ruling of Roe v Wade, the Supreme Court has permitted a new abortion law enforced at the state level that requires parental consent or notification for unmarried minors seeking abortion. This paper uses a panel of pooled state-level foster care entry rates over the years 1990 through 2005 […]
Patterns Within the Trading Day: Volatility and Jump Discontinuities in High Frequency Equity Price Series
by Peer Van Tassel Abstract This paper identities systematic patterns within the trading day by analyzing high frequency data from a market index and nine individual stocks. Empirical results expand on the previously documented U-shape in intraday equity volatility by implementing non-parametric statistics to test for patterns in the jump and diffusive components of volatility. […]
Marketing Laboratory Experiments: The Resistible Rise of Laboratory Markets
by Paul Slattery Abstract This paper will endeavor to develop a history of market experimentation. It will begin with a discussion of its earliest manifestations in the work of Edward Chamberlin, tracing its development through the dominance of Vernon Smith, Charles Plott and their students, and ending with its prospects for the future. It will […]
The VIX as a Fix: Equity Volatility as a Lifelong Investment Enhancer
by Michael Sloyer and Ryan Tolkin Abstract The VIX, a measure of the implied volatility of S&P 500 index options, is the premier gauge of investor sentiment and market volatility. This analysis examines the effectiveness of adding the VIX to passively managed equity-bond portfolios. Furthermore, this study extends the existing literature by examining the efficacy […]
Tracking Decisions in North Carolina’s Public High Schools
by Michael Harris Abstract This paper analyzes the criteria employed to assign students into tracked English and Mathematics classes across public high schools in North Carolina. Specifically, I examine the probability of high track placement moving from eighth grade to ninth grade classrooms based upon both achievement and demographic factors. Analysis is performed at both […]
Merrill Lynch Consults® Program: An Analysis of Performance
by Megha Bisarya Abstract Compared to mutual funds, separately managed accounts are a relatively new product for the financial services industry. They are customized portfolios of stocks or bonds that are monitored by professional investment managers but owned by the individual. This study analyzes the performance of Merrill Lynch’s separately managed accounts program, known as […]
Predicting Financial Debt Crises: A Case Study of India
by Matthew Sperber Abstract The following paper develops a qualitative and quantitative model for predicting financial debt crises. The qualitative model breaks down the balance sheet of emerging market countries to identify weaknesses in the country’s assets and liabilities. The values of the items on a country’s balances sheet are then compared to the pre-crisis […]
