1,721,001 research outputs found
Essays on investor behavior
Get PDFThis dissertation is composed of two essays on individual investor behavior. In the first essay, I analyze a behavioral bias widely known as ‘disposition effect’. By using individual investor trades made through a discount broker between January 1991 and November 1996, I provide a belief-based explanation built on expectations for disposition effect. I use proxies for expectations on future stock prices as control variables and show that disposition effect is concentrated in stocks where there is relatively a larger upward potential. This paper complements the existing literature on the disposition effect by providing evidence based on beliefs, rather than preferences. In the second essay, I extend the analysis to include public signals. Specifically, I examine the effect of analyst recommendations on the trading behavior of individual investors in a portfolio setting. It is widely documented that small investors fail to correct for the positive bias in analyst recommendations. I analyze this issue and claim that perceived upside potential and overconfidence along with the unrealized gain/loss in the stock position might cause different trade reactions to a given stock recommendation
Monitoring efforts during the financial crisis
No full textThe financial crisis created concerns for money market investors about perceived risk within their investments. Determining the value of some money market securities had become difficult. Third party certification by a monitoring agent is one method to address this concern as monitors are expected to perform certain duties. Some of these duties are to assess risk and reduce opacity by verifying the value of assets. During the financial crisis, instability and uncertainty in money market mutual funds highlighted the vulnerabilities of complex financial markets. This study questions whether auditors responded to the perceived risk by increasing their monitoring efforts. Measuring effort through audit fees, this study finds that when auditors act as monitoring agents they increase their fees for the riskiest class of funds without addressing specific security classes
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
Essays in money markets
No full textThis dissertation is structured into three chapters. The first chapter examines the turn-of-the-year patterns in the general collateral government repurchase agreement markets. The money market rates in the United States have exhibited a year-end effect consistent with the preferred habitat for liquidity. We revisit the year-end preferred habitat for liquidity using data on government general collateral repurchase agreements (GC Repos). We find no evidence to suggest a year-end effect during the financial crisis. The result is consistent with liquidity hoarding by investors during a crisis characterized by liquidity and solvency issues. Additionally, our findings suggest that investors manage their year-end liquidity following the crisis even when interest rates are historically low.
The second chapter explores the month-end regularities in the overnight bank funding markets. The money market rates in the United States exhibit various calendar patterns that are grounded in institutional and regulatory factors. In the second chapter, we document a new regularity in overnight money market instruments. Specifically, we identify patterns of decreased volatility along with consistent and significant month-end rate drops in the fed funds and the AA financial commercial paper markets. We also find month-end rate increases in repos. Our findings suggest that short term liquidity requirements of the BASEL III reforms are, in part, responsible for these patterns.
The third chapter contributes to the discussion on reference rates. The LIBOR manipulation scandal of 2008 spurred extensive policy debates regarding the importance of market-based reference rates. The alternative reference rates committee (ARRC) eventually identified the secured overnight financing rate (SOFR) to be a suitable replacement to LIBOR. In the third chapter, we question the underlying process behind choice of SOFR as a replacement for LIBOR. Both academic literature and regulatory bodies fail to identify a consistent definition and criteria of a good reference rate. We fill in this gap in the literature by providing an empirically testable ‘checklist’ to evaluate any potential money market rate to gauge its suitability as a reference rate. We also carry out an empirical evaluation of various money market rates against our criteria and identify the one-month AA non-financial commercial paper as a suitable replacement to LIBOR
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
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