Recent Deposits

  • Indigenous Legal Traditions: Looking at ways to reconcile aboriginal law and common law. A practical and principled approach. 

    Warbrick, Paerau
    It is rather late in the day to say that customary law and aboriginal law does not form part of the common law system in the twenty-first century. The adoption by the United Nations of the Declaration of Indigenous Rights ...
  • The cost of funds and bank efficiency through time 

    Tripe, David
    A super-efficiency model within Data Envelopment Analysis (DEA) was used to study the relative efficiency of New Zealand banks for the period 1996 to 2003. Evidence was found for improvement in efficiency, although it was ...
  • The corporate cost of capital and financial investment in New Zealand 

    Chen, Jianguo; Wang, Ruijing; Black, Carolyn
    We have estimated the cost of capital for the New Zealand listed non-finance corporate sector by the corporate internal rate of return method adopted by Fama and French (1999). The real IRR on value is 1.87% and IRR on ...
  • Improving VWAP strategies : A dynamical volume approach 

    Białkowski, Jedrzej; Darolles, Serge; Le Fol, Gaëlle
    In this paper, we present a new methodology for modeling intraday volume which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for the all stocks included ...
  • US stock prices and macroeconomic fundamentals 

    Black, Angela; Fraser, Patricia; Groenewold, Nicolaas
    Using 54 years of US quarterly data and a VAR model underpinned by a theory of the relationship between stock prices and output, this paper considers the deviations of US stock prices from their fundamental value. To do ...
  • Inferring information frequency and quality 

    Owens, John; Steigerwald, Douglas G
    We develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume ...
  • Explicit vs. implicit contracts: Evidence from CEO employment agreements 

    Gillan, Stuart L; Hartzell, Jay C; Parrino, Robert
    We report evidence on the choice between explicit (written) and implicit contracting for a sample of agreements between CEOs and their firms. Fewer than half of S&P 500 CEOs have explicit contracts. Evidence on the ...
  • The search for relative value in bonds: Asset swaps are a seductive, but incomplete, approach. 

    Grieves, Robin; Mann, Steven V
    Asset swap spreads are a widely used metric for identifying relative value in bonds. We document that this approach breaks down because different benchmark credit curves have different slopes and spread volatilities. If ...
  • Performance and risk aversion of funds with benchmarks: A large deviations approach 

    Foster, F Douglas; Stutzer, Michael
    Mutual fund performance is often measured relative to a designated benchmark portfolio. This paper provides a simple method of ranking portfolios' probabilities of outperforming a benchmark portfolio. Ranking fund performance ...
  • Bang, beep, buzz, blip: Introducing Pure Data 

    Edwards, Chris
    Pure Data (Pd) is a graphical data-flow environment for multimedia, created by Miller Puckette of the Center for Research in Computing and the Arts at UCSD. It’s a fun, versatile and intuitive environment providing high-level ...
  • Human capital and popular investment advice 

    Boyle, Glenn; Guthrie, Graeme
    Popular investment advice recommends that the stock/bond and stock/wealth ratios should rise with investor risk tolerance and investment horizon respectively, prescriptions that are difficult to reconcile with standard ...
  • Foreign currency crisis and semi-strong efficiency of the Korean stock market 

    Jeong, Jinho
    This paper investigated the efficiency of the Korean capital market with respect to fiscal and monetary policies. For this purpose, the paper applied FIML technique to a set of monthly data over the period 1982.01 to ...
  • The RepRap Project—Open Source meets 3D printing 

    Arnott, Reece
    Abstract: The RepRap Project is an open source hardware and software project headed by Adrian Bowyer of the University of Bath with the goal of producing a low cost ‘rapid prototyper’ or 3D printer i.e. a machine that can ...
  • Why are those options smiling? 

    Ederington, Louis H; Guan, Wei
    This paper tests whether the true smile in implied volatilities is flat. The smile in observed Black-Scholes implied volatilities has often been attributed to deficiencies in the B-S model, such as the assumption of constant ...
  • Modeling the bid/ask spread: On the effects of hedging costs and competition 

    Bollen, Nicolas P B; Smith, Tom; Whaley, Robert E
    The need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and security designs. Prior studies of bid/ask spreads suffer from several forms of ...
  • Option spread and combination trading 

    Chaput, J Scott; Ederington, Louis H
    Documenting spread and combination trading in a major options market for the first time, we find that spreads and combinations collectively account for over 55% of large trades (trades of 100 contracts or more) in the ...
  • Value versus glamour 

    Conrad, Jennifer; Cooper, Michael; Kaul, Gautam
    The fragility of the CAPM has led to a resurgence of research that frequently uses trading strategies based on sorting procedures to uncover relations between firm characteristics (such as “value” or “glamour”) and equity ...
  • Complexity and the character of stock returns: Empirical evidence and a model of asset prices based upon complex investor learning 

    Linn, Scott C; Tay, Nicholas S P
    Empirical evidence on the distributional characteristics of common stock returns indicates: 1) A power-law with exponent > 2 describes the positive tail behavior of the survivor function of returns ( pr(r > x ) – x-u ) ...
  • Smooth returns and hedge fund risk factors 

    Okunev, John; White, Derek
    This paper analyzes the risk characteristics for various hedge fund strategies specializing in fixed income instruments. Because fixed income hedge fund strategies have exceptionally high autocorrelations in reported returns ...
  • House Prices, fundamentals and Inflation 

    Black, Angela; Hoesli, Martin; Fraser, Patricia
    This paper studies actual house prices relative to fundamental house prices. Using UK data and a time-varying present value approach, we find that deviations of house prices from their fundamental value (as warranted by ...

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