172,093 research outputs found
The Time-Varying Systematic Risk of Carry Trade Strategies
No full textWe explain the currency carry trade performance using an asset pricing model in which factor loadings are regime-dependent rather than constant. Empirical results show that a typical carry trade strategy has much higher exposure to the stock market and is mean-reverting in regimes of high FX volatility. The findings are robust to various extensions, including more currencies, longer samples, transaction costs, international stock indices, and other proxies for volatility and liquidity. Our regime-dependent pricing model provides significantly smaller pricing errors than a traditional model. Thus, the carry trade performance is better explained by its time-varying systematic risk that magnifies in volatile markets-suggesting a partial explanation for the Uncovered Interest Rate Parity puzzle.carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Relationship between the yen carry trade and the related financial variables
No full textRecently, the yen carry trade has been focused on the international financial market. However, there are few empirical studies on the yen carry trade. This paper investigates the relationship between the yen carry trade and the related financial variables in the US and Japan by the structural vector autoregression (SVAR) model. Our estimation results show that the US stock price has a dominant impact on the activity of the speculative yen carry trade. On the other hand, we found that the interest rate differential between Japan and the US does not have a significant impact on the movement of the carry trade. This result shows that the Bank of JapanÂfs (BOJ) raising the key rate may not make the yen carry trade less attractive. Our results also indicate that if the carry trade unwinds, the depreciation of the dollar against the yen will take place.
Dispelling the Myths Behind First-author Citation Counts
No full textWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Net Centric Distribution of Video Signal and Must Carry Rules in the U.S.
No full textWe are moving to a net centric video distribution model. There is thus a need to rethink must carry rules. In this paper we evaluate the process of transition to a model without must carry rules using an organizational change perspective: leadership; engagement and participation; planning and strategy; process; and outcome evaluation. It concludes that the U.S. Federal Communications Commission did not adequately respond to the needs of the sector and the lack of a transition strategy may have impaired the evolution of the video distribution sector towards a business model that can accomplish both access to greater variety as well as the survival of some local station producers.must carry rules, net centric video distribution, FCC.
The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
No full textThe carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on low Sharpe ratios and negative skew, these trades could appear unattractive, even when diversified across many currencies. But more sophisticated conditional trading strategies exhibit more favorable payoffs. We apply novel (within economics) binary-outcome classification tests to show that our directional trading forecasts are informative, and out-of-sample loss-function analysis to examine trading performance. The critical conditioning variable, we argue, is the fundamental equilibrium exchange rate (FEER). Expected returns are lower, all else equal, when the target currency is overvalued. Like traders, researchers should incorporate this information when evaluating trading strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated with returns; other puzzles remain: the more sophisticated strategy has a very high Sharpe ratio, suggesting market inefficiency.
Pragmatic Case Studies as a Source of Unity in Applied Psychology
No full textTo unify or not to unify applied psychology: that is the question. In this article we review pendulum swings in the historical efforts to answer this question—from a comprehensive, positivist, “top-down,” deductive yes between the 1930s and the early 60s, to a postmodern no since then. A rationale and proposal for a limited, “bottom-up,” inductive yes in applied psychology is then presented, employing a case-based paradigm that integrates both positivist and postmodern themes and components. This paradigm is labeled “pragmatic psychology” and, its specific use of case studies, the “Pragmatic Case Study Method” (“PCS Method”). We call for the creation of peer-reviewed journal-databases of pragmatic case studies as a foundational source of unifying applied knowledge in our discipline. As one example, the potential of the PCS Method for unifying different angles of theoretical regard is illustrated in an area of applied psychology, psychotherapy, via the case of Mrs. B. The article then turns to the broader historical and epistemological arguments for the unifying nature of the PCS Method in both applied and basic psychology.Peer reviewe
Figure 7.18: Counter carry-out: (a) Circuit to generate CARRY; (b) Sample timing diagram setting CARRY = 1.
No full textFigure 7.18: Counter carry-out: (a) Circuit to generate CARRY; (b) Sample timing diagram setting CARRY = 1. The animation shows the timing diagram as the outputs change from 1110 to 1111 to 0000. CARRY is 1 while the output is 1111 and COUNT=1
Chris' Carry Out
No full textHandwritten in pencil on verso: Chris' Carry out-Montford Ave; S-134-C-EBC-7. Signed: Elinor B. Cahn, 1978
Dr. Edwin Wright Collection: Author Unknown
No full textNotes - The author relates several short stories about his neighbours including Alex McDonell, homesteading and life around Meanook and Athabasca (1 page
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