Research Outputs

Permanent URI for this communityhttps://hdl.handle.net/20.500.14288/2

Browse

Filters

2002 - 200932020 - 20211

Advanced Search

Filter by

Settings

Quartile: search.filters.quartile.Q2Subject: search.filters.subject.Business enterprises

Search Results

Now showing 1 - 4 of 4
  • Placeholder
    PublicationMetadata only
    Hedging under gamma constraints by optimal stopping and face-lifting
    (Blackwell Publishing, 2007) Touzi, Nizar; Department of Mathematics; Soner, Halil Mete; Faculty Member; Department of Mathematics; College of Sciences; N/A
    A super-replication problem with a gamma constraint, introduced in Soner and Touzi, is studied in the context of the one-dimensional Black and Scholes model. Several representations of the minimal super-hedging cost are obtained using the characterization derived in Cheridito, Soner, and Touzi. It is shown that the upper bound constraint on the gamma implies that the optimal strategy consists in hedging a conveniently face-lifted payoff function. Further an unusual connection between an optimal stopping problem and the lower bound is proved. A formal description of the optimal hedging strategy as a succession of periods of classical Black-Scholes hedging strategy and simple buy-and-hold strategy is also provided.
  • Placeholder
    PublicationMetadata only
    Imported machinery for export competitiveness
    (Oxford University Press (OUP), 2002) Mody, Ashoka; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    This article analyzes the relationship between export competitiveness and investment in machinery, allowing for imperfect substitution between domestically produced and imported machinery. A translog export price function is estimated for developed, exportoriented developing, and import-substituting developing economies in a panel data setting. Between 1967 and 1990 imported machinery helped lower export prices for export-oriented developing economies. Moreover, throughout the period imported machinery was not a substitute for domestic machinery. Import-substituting developing economies were unable to harness imported machinery to reduce costs early in the period, but from about the early 1980s, with the opening of their trade regimes, they were able to benefit from the cost-reducing effect. The results imply that innovative effort based on imported technologies can be a precursor to the development of domestic innovation capabilities.
  • Placeholder
    PublicationMetadata only
    Measuring real-financial connectedness in the us economy
    (Elsevier Science Inc, 2021) Uluceviz, Erhan; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111
    We analyze the connectedness between the real and the financial sectors of the U.S. economy. Using the weekly ADS index of the Philadelphia Fed (the widely used business conditions indicator) to represent the real side, we find that during times of financial distress and business cycle turning points, the direction of connectedness runs from the real sector to financial markets. The ADS index is derived from a model containing a measure of term structure along with real variables. Therefore, it might not be the best representative of the real activity used in the connectedness analysis. As an alternative, we derive a real activity index (RAI) from a dynamic factor model of the real sector variables only. The behavior of RAI over time is quite similar to that of the ADS index. When we include RAI to represent the real side, connectedness from the real side to financial markets weakens substantially, while the connectedness from financial markets to the real side becomes more pronounced.
  • Placeholder
    PublicationMetadata only
    Regulation fair disclosure and the market's reaction to analyst investment recommendation changes
    (Elsevier Science Bv, 2007) Cornett, Marcia Millon; Tehranian, Hassan; Department of Business Administration; Yalçın, Atakan; Faculty Member; Department of Business Administration; Graduate School of Business; 179934
    Previous research has shown that affiliated analysts (those who are working for investment banks that underwrite securities for companies) have an incentive to provide optimistically biased recommendations from selective information they are given by the firm. In an effort to halt such activities, as of October 2000, Regulation Fair Disclosure (RegFD) prohibits selective disclosure of material non-public information by public companies to privileged individuals (such as favored research analysts) and requires broad, non-exclusionary disclosure of such information. We examine firms' stock price reactions to investment recommendation changes from affiliated analysts versus unaffiliated analysts from October 1998 to November 2002, around the passage of RegFD. Similar to previous research, we find that investors reacted more significantly to recommendation downgrades by affiliated analysts than to those by unaffiliated analysts prior to the passage of RegFD. However, we find that the difference in the reactions to recommendation changes is not present after the passage of RegFD. We also find that stock price reactions to analysts' (both affiliated and unaffiliated) recommendation changes decreased significantly after the passage of RegFD. Thus, RegFD appears to have curbed the selective disclosure of information (particularly negative information) by firms to affiliated analysts. Further, the smaller reactions to recommendation changes by all analysts after RegFD may reflect a change in analysts' behavior (irrespective of information that is available) or a response by corporate managers to withhold information rather than risking a violation of fair disclosure rules.