Otago University Research Archive
Browsing Conference or Workshop Item (Seminar, Speech or Other Presentation) by Date Added
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Browsing Conference or Workshop Item (Seminar, Speech or Other Presentation) by Date Added
Now showing items 1-20 of 49
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(Conference or Workshop Item (Paper published in proceedings)Conference or Workshop Item (Poster), ASCILITE 2012, 2012)StudySmart is an online course designed for second year medical students at the University of Otago. This course was designed to replace a two hour library and information skills lab, and comprises a series of topics, tasks ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Department of Finance, Seminar, 2006)We have estimated the cost of capital for the New Zealand listed non-finance corporate sector by the corporate internal rate of return method adopted by Fama and French (1999). The real IRR on value is 1.87% and IRR on ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2005)A super-efficiency model within Data Envelopment Analysis (DEA) was used to study the relative efficiency of New Zealand banks for the period 1996 to 2003. Evidence was found for improvement in efficiency, although it was ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2001)Using 54 years of US quarterly data and a VAR model underpinned by a theory of the relationship between stock prices and output, this paper considers the deviations of US stock prices from their fundamental value. To do ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2004)We develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Department of Finance, Seminar, 2006)In this paper, we present a new methodology for modeling intraday volume which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for the all stocks included ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Department of Finance, Seminar, 2006)Asset swap spreads are a widely used metric for identifying relative value in bonds. We document that this approach breaks down because different benchmark credit curves have different slopes and spread volatilities. If ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2003)Mutual fund performance is often measured relative to a designated benchmark portfolio. This paper provides a simple method of ranking portfolios' probabilities of outperforming a benchmark portfolio. Ranking fund performance ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Department of Finance, Seminar, 2006)We report evidence on the choice between explicit (written) and implicit contracting for a sample of agreements between CEOs and their firms. Fewer than half of S&P 500 CEOs have explicit contracts. Evidence on the ... -
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(Conference or Workshop Item (Seminar, Speech or Other Presentation), Computer and Information Science Seminar Series, 2009)Pure Data (Pd) is a graphical data-flow environment for multimedia, created by Miller Puckette of the Center for Research in Computing and the Arts at UCSD. It’s a fun, versatile and intuitive environment providing high-level ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2003)Popular investment advice recommends that the stock/bond and stock/wealth ratios should rise with investor risk tolerance and investment horizon respectively, prescriptions that are difficult to reconcile with standard ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2004)This paper investigated the efficiency of the Korean capital market with respect to fiscal and monetary policies. For this purpose, the paper applied FIML technique to a set of monthly data over the period 1982.01 to ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), Computer and Information Science Seminar Series, 2008)Abstract: The RepRap Project is an open source hardware and software project headed by Adrian Bowyer of the University of Bath with the goal of producing a low cost ‘rapid prototyper’ or 3D printer i.e. a machine that can ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2001)This paper tests whether the true smile in implied volatilities is flat. The smile in observed Black-Scholes implied volatilities has often been attributed to deficiencies in the B-S model, such as the assumption of constant ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2003)The fragility of the CAPM has led to a resurgence of research that frequently uses trading strategies based on sorting procedures to uncover relations between firm characteristics (such as “value” or “glamour”) and equity ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2001)The need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and security designs. Prior studies of bid/ask spreads suffer from several forms of ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2002)Documenting spread and combination trading in a major options market for the first time, we find that spreads and combinations collectively account for over 55% of large trades (trades of 100 contracts or more) in the ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2005)Empirical evidence on the distributional characteristics of common stock returns indicates: 1) A power-law with exponent > 2 describes the positive tail behavior of the survivor function of returns ( pr(r > x ) – x-u ) ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2005)This paper studies actual house prices relative to fundamental house prices. Using UK data and a time-varying present value approach, we find that deviations of house prices from their fundamental value (as warranted by ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2002)This paper analyzes the risk characteristics for various hedge fund strategies specializing in fixed income instruments. Because fixed income hedge fund strategies have exceptionally high autocorrelations in reported returns ...
Now showing items 1-20 of 49