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1 – 10 of 406Robert D. Brooks, Robert W. Faff, Tim Fry and Diana Maldonado-Rey
In this paper we investigate the empirical performance of an alternative beta risk estimator, which is designed to be superior to its conventional counterparts in situations of…
Abstract
In this paper we investigate the empirical performance of an alternative beta risk estimator, which is designed to be superior to its conventional counterparts in situations of extreme thin trading. The estimator used is based on the sample selectivity model. The study compares the resultant selectivity-corrected beta to the OLS beta and Dimson Betas. We demonstrate the empirical behaviour of the selectivity corrected beta estimator using a sample of stocks in seven countries from Latin America. The results indicate that the selectivity-corrected beta does correct the downward bias of the OLS estimates and is likely to better estimate stock risk.
Harvey Arbeláez and Reid William Click
This book is an attempt to reflect on what we have learned from financial policies and financial crises in Latin America. The 21 chapters in this volume capture the developments…
Abstract
This book is an attempt to reflect on what we have learned from financial policies and financial crises in Latin America. The 21 chapters in this volume capture the developments in various ways. They cover theoretical contributions, regional empirical studies, and specific inquiries on Argentina, Brazil, Chile, Colombia, Cuba, Ecuador, Mexico, Peru and Venezuela. The breadth of methodologies implemented suggests that researchers are looking at Latin American financial markets through a variety of lenses. The chapters are divided into 7 parts, including, in Part I, an initial overview. Part II examines the foreign exchange markets in Latin America and their interactions with other markets. Part III discusses dollarization issues in the region. Part IV then takes up the issue of banking in Latin America. Equity and bond markets are considered in Parts V and VI, respectively. Lastly, Part VII considers pension systems in Latin America. Taken as a whole, the 21 chapters seize the excitement of studying Latin America and provide lessons that are applicable around the world.
Vivek Bhargava and Robert Brooks
The purpose of this paper is to determine the best way to hedge currency risk using futures contracts. Various techniques of hedging currency risk are compared, and a new method…
Abstract
The purpose of this paper is to determine the best way to hedge currency risk using futures contracts. Various techniques of hedging currency risk are compared, and a new method is proposed. This paper also documents the duration and the expiration effects on the optimal hedge ratio. The main finding of this paper is that, of the techniques examined, the hedge ratio derived by Vishwanath (1993) performs the best. This paper also finds that as the duration of the hedge increases, the hedge ratio increases. For one week and two weeks duration hedges, as the time left to futures contract expiration increases, the hedge ratio increases and there is linear relationship. The results are not as pronounced for four and six-week duration hedges.
Gina Dokko, Amit Nigam and Daisy Chung
The emergence of an evidence-based medicine logic represents a major change in the large and complex field of American healthcare. In this analytical case study, the authors show…
Abstract
The emergence of an evidence-based medicine logic represents a major change in the large and complex field of American healthcare. In this analytical case study, the authors show that the intellectual school of evidence-based medicine became an important meso-structure that facilitated the growth of the new logic in American healthcare. The new intellectual school was a community of scholars who generated shared rules and resources through intergenerational mentoring. The school engaged in advocacy to advance new intellectual paradigms for conceptualizing healthcare quality that, when connected with material practices in the field of American healthcare, came to form a new institutional logic.
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Emawtee Bissoondoyal-Bheenick, Robert Brooks, Sirimon Treepongkaruna and Marvin Wee
This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis…
Abstract
This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis periods. We compute the measures for the volatility of liquidity by using bid-ask spread data sampled at a high frequency of five minutes. By examining 11 currencies over a 13-year sample period, we utilize a balanced dynamic panel regression to investigate whether the risk associated with the currencies quoted or trading activity affects the variability of liquidity provision in the FX market and examine whether the crisis periods have any effect. We find that both the level of spread and volatility of spread increases during the crisis periods for the currencies of emerging countries. In addition, we find increases in risks associated with the currencies proxied by realized volatility during the crisis periods. We also show risks associated with the currency are the major determinants of the variability of liquidity and that these relationships strengthen during periods of uncertainty. First, we develop measures to capture the variability of liquidity. Our measures to capture the variability of liquidity are non-parametric and model-free variable. Second, we contribute to the debate of whether variability of liquidity is adverse to market participants by examining what drives the variability of liquidity. Finally, we analyze seven crisis periods, allowing us to document the effect of the crises on determinants of variability of liquidity over time.
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Mary L. Fennell and Ann Barry Flood
The Stanford School of Organizational Sociology has influenced the development and direction of healthcare organizations as a field of research in several very significant ways…
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The Stanford School of Organizational Sociology has influenced the development and direction of healthcare organizations as a field of research in several very significant ways. This chapter will provide a focused review of the major paradigms to develop from work at Stanford from 1970 to 2000, much of which involved the study of processes and structures within and surrounding healthcare organizations during this period. As a subarea of organizational theory and health services research, healthcare organizations embrace both theory-based research and applied research, and they borrow concepts, theories, and methods from medical sociology, organizational theory, healthcare administration and management, and (to a more limited extent) health economics and decision theory. The bulk of this chapter will focus on four major themes or paradigms from research on healthcare organizations that grew from work by faculty and students within the Stanford School of Organizational Sociology: Health Care Outcomes, Internal Organizational Dynamics, Organizations and Their Environments, and Organizational Systems of Care and Populations of Care Providers. Following our examination of these four paradigms, we will consider their implications for current and future debates in health services research and healthcare policy.