1,721,050 research outputs found
On proprietary disclosures of investment institutions
No full textThesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2003.Includes bibliographical references (p. 73-74).We analyze issues related to proprietary disclosures by specialized investment institutions such as hedge funds to their trading counterparties and creditors. In this paper, disclosure can be costly because of the potential for exploitation through competitive trade or "front-running". In chapter 1, we consider a model with a direct revelation mechanism between leveraged investors and their lenders. In this model, the investors need to borrow from lenders with heterogeneous risk-exposures in order to trade. Investors may obtain advantageous terms of borrowing by disclosing their investment strategy, thereby revealing its correlation to the lender's existing risk-exposure. Investors risk being "front-run" by their lender if they disclose, however. We show that in the presence of front-running, the "unraveling" result of full disclosure may not hold. Mandating disclosure has ambiguous welfare effects since it can not only lead to the matching of uncorrelated risks, but also to concentrations of risk. These results have implications for regulations on leveraged investors in financial markets. In chapter 2, we consider an indirect revelation made by an arbitrageur (e.g., hedge fund) to trading counterparties through traded securities. In this model, the arbitrageur has private information about the relative value of two or more securities. We conjecture that in a segmented dealer market, the arbitrageur trades each security with a different dealer so that each dealer sees only one piece of the total position. We show that this "break-up" strategy can be optimal and unique even if given an array of redundant strategies and securities, including "swaps" of the various securities. The analysis of this equilibrium has implications for the kinds of claims held by an arbitrageur's counterparties in a leveraged scenario and their resulting stability.by K. Jeremy Ko.Ph.D
Information and trading patterns in financial markets
No full textThesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2004.Includes bibliographical references.This thesis consists of three chapters, each with implications on information and trading patterns in financial markets. Chapter 1: In most financial markets, dealers are given trading advantages meant to encourage liquidity provision. However, it is unclear if these advantages truly induce such trading. I test a unique dataset containing weekly trades and transaction prices of all dealers from the Taiwan Stock Exchange. Standard market-making models, such as Kyle (1985) and Grossman and Miller (1988), imply market maker trades and contemporaneous returns are negatively correlated. I find a strong positive correlation, implying that dealers do not provide liquidity. I develop a unique profit decomposition and find that dealers earn significant excess returns, in aggregate driven by information profits. Chapter 2: I explore cross-sectional returns earned with respect to trading strategies of dealers on the Taiwan Stock Exchange. First, I document the wide variation in dealer trading strategies, as measured by the correlation of their trades with stock returns, as well as the variation in total returns as well as information and market-making components of return. I find no characteristics that provide significant explanatory power for total returns, but several that significantly affect the individual components of returns. Information returns are strongly increasing in the correlation between contemporaneous dealer trades and stock returns. Market-making returns are decreasing in dealer size, number of stocks actively traded, and the aforementioned correlation. These results suggest that a policy of small dealers trading exclusively in a few stocks would be optimal to encourage market-making profits. Ironically, small dealers would be unable to absorb(cont.) large liquidity imbalances. Chapter 3 (joint with Kin Wai Chan and Charles Chang): We explore how financial firms trade on in-house, US equity recommendations. We match the quarterly trades of financial firms with their own recommendations and document their trading patterns around recommendations. We find that net trade is generally more positive around upgrades than downgrades, and significantly so in the same quarter and quarter after the recommendation change. These empirical relations suggest that by and large, financial firms actually do "put their money where their mouths are".by Albert Wang.Ph.D
The Decentralization of Information Processing in the Presence of Interactions
No full textWe propose a model of organizational decision making, in which information processing is decentralized. Our model incorporates two features of many actual organizations: aggregation entails a loss of useful information, and the decision problems of different agents interact. We assume that an organization forms a portfolio of risky assets, following a hierarchical procedure. Agents' decision rules and the organization's hierarchical structure are derived endogenously. Typically, in the optimal hierarchical structure, all agents have one subordinate, and returns to ability are at least as high at the bottom as at the top. However, these results can be reversed in the presence of returns to specialization. Copyright The Review of Economic Studies Limited, 2003.
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe 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
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe 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
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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