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Leveraging the American Dream: Explaining the Shift Towards Mortgage Debt since the 1970’s
by James Robert Melnick and James Colin Montupet Abstract We show that the determinants of mortgage borrowing and other forms of consumer credit differ: borrowers tend to consider asset holdings when taking out a mortgage, but focus on short-term economic expectations when borrowing other consumer credit. We hypothesize that this “mortgage wealth effect” occurs in […]
The Impact of Sector and Market Variance on Individual Equity Variance
by Haoming Wang Abstract This paper investigates how changes in measures of sector and market variance affect equity variance by examining forecasts of equity variance over 1, 5, and 22 day time horizons. These forecasts were generated using heterogeneous autoregressive regressions that included measures of sector and market variance. The results demonstrate that sector and […]
Does the NBA Encourage Early Entry?
by Griffen Tormey Abstract Over the last decade, the number of underclassmen selected in the first round of the NBA Draft has dramatically increased. Even when controlling for performance in college, underclassmen are paid significantly more than college seniors. What is going on here? Isn’t experience a good thing? Groothuis, Hill, and Perri (2007) were […]
Analyzing and Applying Existing and New Jump Detection Methods for Intraday Stock Data
By William Warren Davis Abstract This paper attempts to explore two recent statistics used to identify jumps in stock prices, as well as to propose a modification to one of the statistics to increase its accuracy by adding a second stage with a different estimator of local volatility. After identifying potential jump days, a study […]
Socioeconomic Factors and the Outcomes of Thailand’s Prevention of Mother-To-Child Transmission program (PMTCT)
by Wichsinee Wibulpolprasert Abstract Since its implementation in 2001, the national program for Prevention of Mother-To-Child Transmission (PMTCT) in Thailand has been successful in substantially reducing mother-to-child HIV transmission. In order to assess and improve the efficacy of the PMTCT program, it is important to identify relevant socio-demographic and biomedical factors associated with antiretroviral compliance […]
Engaging with Malthus: Joseph J. Spengler and Economic Demography
by Thomas Aten Abstract This research paper analyzes the development of Joseph J. Spengler’s interpretation of Thomas Robert Malthus’s work through its three stages, first the stage of quantitative analysis, second, the analysis of early American and French thinkers using Malthus as a critical lens, and third, Spengler’s “Restatement and Reappraisal” of Malthusian theory. Professor […]
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 […]
