The Impact of Fraudulent False Information on Equity Values

There are two types of stock price manipulation examined in the theoretical literature: (1) insider trading, which involves private information that is true and (2) the public spreading of fraudulent false information. While there is a large empirical literature on insider trading, this is the first empirical article to examine the impact of false, fraudulent public information on stock prices and trading volume. We find that such false information, even after being denied by a credible source such as the SEC, generates both abnormal returns and abnormal trading volume. We also find that the effects of the false information on security returns and volume can be persistent for at least 2 weeks. In addition, we show that perpetrators of false news attacks can make potentially large profits from such market manipulations.     

How should Central Banks determine and control their bank note inventory?

This paper looks at a relatively unresearched but important area in money and banking – namely the provision of currency by the Central Bank. One of the most important functions of Central Banking is the provision of liquidity to the economy. However, in fulfilling this function, Central Banks have to be prepared for unexpected money demand shocks as well as production, transportation and cost of capital constraints. The paper develops a dynamic cost minimizing note inventory model that solves for the Central Bank’s optimal note order size and frequency. As part of the modeling exercise a value at risk model is used to solve for an inventory “cushion.”     

Is the Swedish stock market efficient? Evidence from some simple trading rules

In this paper we examine the profitability of some technical trading rules in the Swedish stock market over the 1986-2004 periods. The results indicate that moving average rules do indeed have predictive power and could discern recurring-price patterns for profitable trading, even after accounting for the effects of data snooping biases. To assess the profitability of different technical trading rules and strategies, we adopt White's [White, H. (2000). A Reality Check for data snooping, Econometrica, 68, 1097-1126.] Reality Check test that quantifies the data snooping bias adjusting for its effects. Our results also support the hypothesis that technical trading rules can outperform the buy-and-hold strategy even considering transaction costs.     

The cost of being late? The case of credit card penalty fees

This paper is the first in the literature to examine the determinants of US credit card penalty fees. Many critics of credit card fees – including a number of US Senators – have argued that credit card penalty fees reflect banks’ market share. Using a unique data set we find that fees are increasing in customer risk which supports the position of defenders of penalty fees, such as banks. However, our finding that fees are increasing in a bank's market share is consistent with the concerns expressed by politicians and regulators. We also find card penalty fees are direct substitutes for card interest rates.     

Stock market dynamics with rational liquidity traders

In the Kyle (1985) finite horizon model of stock market dynamics with a trader who holds long-lived information, informed trading intensities rise with time, and the slopes of the equilibrium price schedules fall. This paper shows that this result depends crucially on the irrational liquidity trader assumption. We replace the irrational noise traders with a sequence of rational, risk averse, liquidity traders who receive endowment shocks to their holdings of the risky asset. We demonstrate that unless liquidity traders are sufficiently risk averse, the slope of equilibrium price schedule rises over time, while informed trading intensities fall. In particular, Kyle's result holds only when liquidity traders are so risk averse that they ‘over-rebalance’ their portfolio's holdings of the risky asset, so that their final holdings of the risky asset have the opposite sign of their initial position.     

Optimal Water Resources Management: Case of Lower Litani River, Lebanon

The pressures of human population and patterns of development frequently jeopardize the integrity of river systems worldwide. An integrated approach to water resources management is essential, particularly in developing countries. This study presents the results of the water resources optimization conducted for the Lower Litani River Basin in Lebanon. The overall aim of the project is to develop, test, and critically evaluate an innovative approach to water resources management in the Mediterranean region. The method explores the ways in which multiple environmental, economic, and social benefits can be achieved through integrated management of water resources. The Water Resources Model was utilized to assess the efficiency of the baseline model scenario and for the optimization process of the different scenarios of the Litani Lower Basin. Strengths, weaknesses, opportunities and threats analysis was applied in order to derive the objectives and constraints. Results revealed that the potential retained scenarios aim at decreasing water consumption and demand, losses, and return flow. These scenarios mainly include the shift to drip irrigation, awareness campaigns, and losses control in domestic supply pipes. Other retained scenarios having a higher shortfall rely on the use of the Channel concrete lining to decrease losses and return flow, in addition to the awareness campaigns in both domestic and irrigation sectors, and less consumptive/more efficient irrigation methods such as sprinkler and drip irrigation at variable application percentages. Hence, most of the interventions or measures proposed are generally not costly and can be implemented.     

Multi-Objective Optimization Model for Design and Operation of Water Transmission Systems Using a Power Resilience Index for Assessing Hydraulic Reliability

Water Resources Management - Water Transmission Systems (WTSs) are used to transport large flow over long distances and/or high heads. An optimal design involves evaluation of both cost and...     

Three centuries of asset pricing

Theory on the pricing of financial assets can be traced back to Bernoulli's famous St Petersburg paper of 1738. Since then, research into asset pricing and derivative valuation has been influenced by a couple of dozen major contributions published during the twentieth century. These seminal works have underpinned the key ideas of mean–variance optimisation, equilibrium analysis and no-arbitrage arguments. This paper presents a historical review of these important contributions to finance.     

Pressure Management Model for Urban Water Distribution Networks

A technique for leakage reduction is pressure management, which considers the direct relationship between leakage and pressure. To control the hydraulic pressure in a water distribution system, water levels in the storage tanks should be maintained as much as the variations in the water demand allows. The problem is bounded by minimum and maximum allowable pressure at the demand nodes. In this study, a Genetic Algorithm (GA) based optimization model is used to develop the optimal hourly water level variations in a storage tank in different seasons in order to minimize the leakage level. Resiliency and failure indices of the system have been considered as constraints in the optimization model to achieve the minimum required performance. In the proposed model, the results of a water distribution simulation model are used to train an Artificial Neural Network (ANN) model. Outputs of the ANN model as a hydraulic pressure function is then linked to a GA based optimization model to simulate hydraulic pressure and leakage at each node of the water distribution network based on the water level in the storage tank, water consumption and elevation of each node. The proposed model is applied for pressure management of a major pressure zone with an integrated storage facility in the northwest part of Tehran Metropolitan area. The results show that network leakage can be reduced more than 30% during a year when tank water level is optimized by the proposed model.