Value-at-Risk under Measurement Error

We propose a method for estimating Value-at-Risk that corrects for the effect of measurement errors in stock prices. We show that the presence of measurement errors might pose serious problems for estimating risk measures. In particular, when stock prices are contaminated, existing estimators of Value-at-Risk are inconsistent and might lead to an underestimation of risk, which can result in extreme leverage ratios within the held portfolios. Using a Fourier transform and a deconvolution kernel estimator of the probability distribution function of actual latent prices, we derive a robust estimator of Value-at-Risk in the presence of measurement errors. Monte Carlo simulations and real data analysis illustrate satisfactory performance of the proposed method.     

A Stackelberg game-based approach for interactions among Internet service providers and content providers

NETNOMICS: Economic Research and Electronic Networking - This paper studies non-neutral market share where Internet service providers (ISPs) charge content providers (CPs) for the content delivery....     

Analysing the spillover of inflation in selected Euro-area countries

Journal of Quantitative Economics - We examined the spillover of inflation in selected Euro-area countries using monthly consumer price index (CPI) based inflation data covering the period 1955M1...     

The economics of the Syrian refugee crisis in neighbouring countries: The case of Lebanon

In this article, we investigate the effects of a massive displacement of workers from a war‐torn economy on the economy of a neighbouring country. Applying a general equilibrium approach to the Lebanese economy, we explore effects from various components of the crisis on the labour market, the production apparatus and macroeconomic indicators. Along with previous literature, our findings suggest limited or no adverse effects on high‐skilled native workers, but a negative impact on the most vulnerable Lebanese workers. When aid takes the form of investment subsidies, significantly better growth and labour market prospects arise, recalling the necessity of complementing humanitarian aid with development aid to succeed in achieving long‐term objectives. This may however not be politically viable in a context where refugees are considered as temporary.     

Foreign institutional ownership and demand for accounting conservatism: evidence from an emerging market

Review of Quantitative Finance and Accounting - This paper investigates the ‘price–concentration’ relationship in pricing syndicated loans. By measuring bank concentration at a...     

Compliance Costs of Corporate Income Taxation in Singapore

This study is the second in a series of studies investigating tax compliance costs incurred by public-listed companies. We found evidence of a size effect which is a predominant finding of similar studies. The size effect was more pronounced when absolute measures of costs were used than when a relative measure, cost/sales turnover, was used. Additional evidence was found of limited success relating to the IRAS's moves to simplify the tax system. Specifically, only large companies with sales turnover exceeding $500m benefited and considerably reduced their overall compliance costs. Most of the decrease was a result of the computational component of compliance costs. This resulted in the gap in absolute costs narrowing between Group 3 and any of the other categories of companies. There was also greater reliance on external professionals, the smaller the company. Views elicited indicate that more could be done to increase accessibility to IRAS publications for Group 1 and Group 2 companies.     

Examining the impact of the attractiveness of alternatives on customers’ perceptions of price tolerance: Moderation and mediation analyses

The current literature provides mixed support for the positive influence of competitors on customers’ perceptions of price tolerance (Herrmann et al, Psychology & Marketing, 2004 21(7), 533–551). This paper examines a number of mediators and moderators of this relationship, such as positive switching barriers, negative switching barriers and customer satisfaction. A total of 162 valid responses was collected from the financial brokerage context by means of a random sample. The data were analysed using the Partial-least square (PLS) approach to structural equation modelling. The findings show that customers’ satisfaction with the service provider partially mediates the positive effect of alternatives on price tolerance. Negative, not positive, switching barriers were found to weaken the effect on price tolerance of the attractiveness of alternatives.