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The currency risk factor in international equity pricing
No full textCurrency risk in the pricing of international equity returns is analyzed from an empirical viewpoint. The significance of other factors, such as the domestic market index, world index, and industry index is also analyzed.Two methodologies are used. One is based on the Asymptotic Principal Components when an approximate factor structure is assumed. The other is a multiple regression framework.Monthly stock price returns for five countries are used. Thirty stocks are chosen from each country. There are a total of thirteen industry classifications. Fifteen years of data is used. The US Dollar is the numeraire.Exchange risk is generally priced for US Dollar returns (the viewpoint of a US investor investing in foreign markets), and is not priced for local currency returns (the viewpoint of a local investor). The Domestic market index is always priced. The pricing of the World Index and the Industry Index is mixed, (i.e.), it is priced in certain cases and not in others.Made available in DSpace on 2011-05-07T12:30:45Z (GMT). No. of bitstreams: 2
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Previous issue date: 1990Item marked as restricted to the 'UIUC Users [automated]' Group (id=2) by Howard Ding ([email protected]) on 2011-05-07T14:41:58Z
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International equity markets and market microstructure
No full textIf the international equity market is integrated, identical stocks listed on different international stock exchanges should have the same rates of return, the same characteristics of stock price behavior and similar distributions of daily rates of return.This study hypothesizes that different trade clearing and settlement procedures may cause differences in the daily rates of return and their distributions for the same stocks. This is due to the different cash flow delays in the settlement procedures. This study also hypothesizes that different market microstructures, or trading mechanisms, may cause differences in characteristics of stock price behavior, which can affect different rates of return because of different liquidity risk for the same stocks between markets.The sample companies included in this study focus on the same United States stocks which are traded on the New York Stock Exchange, the Tokyo Stock Exchange and The London Stock Exchange. They have different trading mechanisms and market microstructures.Even though there exists some empirical evidence which confirms the existence of the settlement effect between markets, the hypothesis related to the settlement procedure cannot be supported. In general, daily rates of return related to settlement procedures are not statistically different between markets. However, different settlement procedures and trading volume have a significant effect on the characteristics of return distributions.Trading mechanisms have an effect on the characteristics of stock price behavior. However, liquidity risk factors related to market microstructure do not have a significant effect on the rate of return differences between markets. Thus, it is concluded that trading mechanisms or market microstructures do not have a significant effect on the interpretation of the international equity market integration studies.Made available in DSpace on 2011-05-07T13:39:51Z (GMT). No. of bitstreams: 2
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Previous issue date: 1994Item marked as restricted to the 'UIUC Users [automated]' Group (id=2) by Howard Ding ([email protected]) on 2011-05-07T14:57:37Z
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Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe 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
Get PDF“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
Get PDFWe 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
Get PDFWe 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
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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