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Do Teenagers Exhibit Rational Expectations Regarding Mortality, Fertility and Education Outcomes?
By Nikolay Braykov Microeconomic models often use the Rational Expectation Hypothesis (REH) instead of including expectation data. This paper examines the validity of the REH using subjective probability questions about mortality, fertility and education outcomes from panel data. First, I ask whether expectations are accurate and homogenous at the individual level; I find substantial forecast […]
Collusion with Three Bidders at First-Price Auctions
By Andrew Born Lopomo, Marx, & Sun (2009) show that, given a speci fied environment, pro table collusion is not possible for a two-person bidding ring operating at a fi rst-price sealed-bid auction. This research investigates the rigor of their result by expanding the theoretical framework to the case of a three-bidder cartel. The output generated from the […]
The Dynamics of Health Care Demand During an Illness Episode
By David Benson Previous studies assume consumers make medical care choices over large (e.g. yearly) time steps. However, most health expenses occur in the weeks immediately following a shock to health. It is unknown whether demand during an illness episode diers from normal long-run demand. How do consumers make the sequential, dynamic choices to consume […]
Rebalancing, Conditional Value at Risk, and t-Copula in Asset Allocation
By Irving Wang Traditional asset allocation methods for modeling the trade between risk and return do not fully reflect empirical distributions. Thus, recent research has moved away from assumptions of normality to account for risk by looking at fat tails and asymmetric distributions. Other studies have also considered multiple period frameworks to include asset rebalancing. […]
Extreme Value Theory with High-Frequency Financial Data
By Abhinay Sawant Extreme Value Theory (EVT) is one of the most commonly applied models in financial risk management for estimating the Value at Risk of a portfolio. However, the EVT model is practical for estimation only when data is independent and identically distributed, which usually does not characterize financial returns data. This paper aims […]
Spurious Jump Detection and Intraday Changes in Volatility
By Matthew Rognile We investigate the properties of several non-parametric tests for jumps in financial markets. We derive a theoretical property of these tests not observed in any of the previous literature: when they are applied to finitely sampled data, they are generally biased toward finding too many jumps. This results from bias in finite-sample […]
Determinants of Migration: A Case Study of Nang Rong, Thailand
By Monitra Mohinchai The increasing flows of internal migrants resulted from urbanization in developing countries is of great interest to policy makers. This study examines the individual-level and household-level social surveys the Nang Rong Project in 1994-1995 and 2000-2001. Individual characteristics such as gender, age, and years of schooling, and household characteristic such as family […]
Assessing the Effects of Earnings Surprise on Returns and Volatility with High Frequency Data
By Sam Lim This paper aims to explore how “earnings surprise”—the difference between earnings estimates and the actual announced earnings—affects a stock’s volatility and returns using high frequency data. The results show that earnings surprise is significantly correlated with volatility and overnight returns. Furthermore, an earnings surprise is significantly correlated with an increase in volatility […]
Currency Crisis Early Warning Systems: Robust Adjustments to the Signal-Based Approach
By Andrew Kindman This research proposes and tests several novel strategies for enhancing the strength of conventional, signal-based currency crisis Early Warning Systems (EWS). Using country level, monthly macroeconomic time-series data, it develops an algorithmic process for identifying periods of elevated currency crisis risk and achieves robust results. The proposed changes to current EWS include: […]
Forecasting Existing Home Sales using Google Search Engine Queries
By Brian Humphrey This paper employs OLS regressions to determine whether Google search query data improves national and local existing home sales forecasts. The local dataset features metropolitan statistical area data from Texas. Initially, the national and local regressions are estimated without macroeconomic variables. Macroeconomic variables are subsequently included in order to determine if Google […]
