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New York University
(172 results)-
White Papers
Mandatory Disclosure And Operational Risk: Evidence From Hedge Fund Registration
March 6, 2008, 12:00am PST
Mandatory disclosure is a regulatory tool intended to allow market participants to assess operational risk. The authors examine the value of disclosure through the controversial SEC requirement,...
Provided by New York University
-
White Papers
Do Professional Currency Managers Beat The Benchmark?
December 19, 2007, 12:00am PST
The authors investigate an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers. Over the period 1990-2006, excess returns...
Provided by New York University
-
White Papers
A Calibratable Model Of Optimal CEO Incentives In Market Equilibrium
November 18, 2007, 12:00am PST
This paper presents a unified framework for understanding the determinants of both CEO incentives and total pay levels in competitive market equilibrium. It embeds a modified principal-agent...
Provided by New York University
-
White Papers
Latent Liquidity And Corporate Bond Yield Spreads
November 16, 2007, 12:00am PST
Recent research has shown that default risk accounts for only a part of the total yield spread on risky corporate bonds relative to their risk-less benchmarks. One candidate for the unexplained...
Provided by New York University
-
White Papers
Endogenizing Bidders Choice In Divisible Goods Auctions
October 1, 2007, 12:00am PDT
Many financial assets, especially government bonds, are issued by an auction mechanism. An important feature of the design is the auction pricing mechanism: Uniform vs. Discriminatory. Theoretical...
Provided by New York University
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White Papers
Real Options In A Dynamic Agency Model, With Applications To Financial Development, IPOs, And Business Risk
October 1, 2007, 12:00am PDT
The authors study investment options in a dynamic agency model. Moral hazard creates an option to wait and agency conflicts affect the timing of investment. The model sheds light, theoretically...
Provided by New York University
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White Papers
Financiers Vs. Engineers: Should The Financial Sector Be Taxed Or Subsidized?
October 1, 2007, 12:00am PDT
The author studies the allocation of human capital in an economy with production externalities, financial constraints and career choices. Agents choose to become entrepreneurs, workers or...
Provided by New York University
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White Papers
Skill Biased Financial Development: Education, Wages And Occupations In The U.S. Financial Sector
September 1, 2007, 12:00am PDT
Over the past 60 years, the U.S. financial sector has grown from 2.3% to 7.7% of GDP. While the growth in the share of value added has been fairly linear, it hides a dramatic change in the...
Provided by New York University
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White Papers
The Equilibrium Size Of The Financial Sector
August 1, 2007, 12:00am PDT
Over the past 60 years, the value added of the U.S. financial sector has grown from 2.3% to 7.7% of GDP. The author presents a model of the equilibrium size of this industry and the author studies...
Provided by New York University
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White Papers
Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms For Asset Prices
September 10, 2007, 12:00am PDT
This methodological paper presents a class of stochastic processes with appealing properties for theoretical or empirical work in finance and macroeconomics, the "Linearity-generating" class. Its...
Provided by New York University
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White Papers
The Age Of Reason: Financial Decisions Over The Lifecycle
June 7, 2007, 12:00am PDT
The sophistication of financial decisions varies with age: middle-aged adults borrow at lower interest rates and pay fewer fees compared to both younger and older adults. The authors document this...
Provided by New York University
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White Papers
You Can't Take It With You: Sunset Provisions For Equity Compensation When Managers Retire, Resign, Or Die
December 1, 2007, 12:00am PST
Company stock option plans have diverse "Sunset" policies for modifying terms of options held by managers who exit the firm. In the S&P 500 sample, these forfeiture, vesting, and expiration...
Provided by New York University
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White Papers
Gambling On The Stock Market: The Case Of Bankrupt Companies
January 21, 2011, 12:00am PST
This paper asks whether the stocks of bankrupt firms are correctly priced, and explores who trades the stocks of these firms, and why. This sample consists of firms that enter into Chapter 11 and...
Provided by New York University
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White Papers
Proportionality: An Assault On Human Rights?
November 25, 2008, 12:00am PST
Balancing is the main method used by a number of constitutional courts around the world to resolve conflicts of fundamentals rights. The European Court of Human Rights is routinely balancing human...
Provided by New York University School of Law
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White Papers
Adjudging The Exceptional At International Law: Security, Public Order And Financial Crisis
November 12, 2008, 12:00am PST
This paper examines the impact of international law on the ability of states to mitigate the effects of financial crises. It focuses on the invocation of investment treaty disciplines in the...
Provided by New York University School of Law
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White Papers
A Universal Calculus for Stream Processing Languages
January 4, 2010, 12:00am PST
Stream processing applications such as algorithmic trading, MPEG processing, and web content analysis are ubiquitous and essential to business and entertainment. Language designers have developed...
Provided by New York University
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White Papers
PADS: A Policy Architecture for Distributed Storage Systems (Extended)
March 3, 2009, 12:00am PST
This paper presents PADS, a policy architecture for building distributed storage systems. A policy architecture has two aspects. First, a common set of mechanisms that allow new systems to be...
Provided by New York University
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White Papers
Declarative Syntax Tree Engineering? Or, One Grammar to Rule Them All
November 16, 2007, 12:00am PST
Grammars for many parser generators not only specify a language's syntax but also the corresponding syntax tree. Unfortunately, most parser generators pick a somewhat arbitrary combination of...
Provided by New York University
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White Papers
Typical: Taking the Tedium Out of Typing
November 16, 2007, 12:00am PST
The implementation of real-world type checkers requires a nontrivial engineering effort. The resulting code easily comprises thousands of lines, which increases the probability of software defects...
Provided by New York University
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White Papers
A Universal Calculus for Stream Processing Languages (Extended)
January 6, 2010, 12:00am PST
Stream processing applications such as algorithmic trading, MPEG processing, and web content analysis are ubiquitous and essential to business and entertainment. Language designers have developed...
Provided by New York University
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White Papers
Forward-Secure Hierarchical IBE With Applications to Broadcast Encryption
July 23, 2008, 12:00am PDT
A forward-secure encryption scheme protects secret keys from exposure by evolving the keys with time. Forward security has several unique requirements in Hierarchical Identity-Based Encryption...
Provided by New York University
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White Papers
The Growing Influence Of Economics And Economists On Antitrust: An Extended Discussion
January 24, 2008, 12:00am PST
Over the past two to three decades economics has played an increasingly important role in the development of U.S. antitrust enforcement and policy. This paper first reviews the major facets of...
Provided by New York University
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White Papers
The Role Of Competition Policy In The Promotion Of Economic Growth
March 30, 2008, 12:00am PDT
This paper discusses the role that competition policy can play in promoting economic growth. The paper begins by outlining the main components of modern antitrust policy. The paper then discusses...
Provided by New York University
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White Papers
Keyword Search and Oblivious Pseudorandom Functions
January 1, 2011, 12:00am PST
The authors study the problem of privacy-preserving access to a database. Particularly, they consider the problem of privacy-preserving Keyword Search (KS), where records in the database are...
Provided by New York University
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White Papers
Efficient Private Matching and Set Intersection
May 4, 2009, 12:00am PDT
The authors consider the problem of computing the intersection of private datasets of two parties, where the datasets contain lists of elements taken from a large domain. This problem has many...
Provided by New York University
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White Papers
Shark: Scaling File Servers Via Cooperative Caching
January 1, 2011, 12:00am PST
Network file systems offer a powerful, transparent interface for accessing remote data. Unfortunately, in current network file systems like NFS, clients fetch data from a central file server,...
Provided by New York University
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White Papers
On-the-Fly Verification of Rateless Erasure Codes for Efficient Content Distribution
January 1, 2011, 12:00am PST
Peer-to-Peer Content Distribution Networks (P2P-CDNs) are trafficking larger and larger files, but end-users have not witnessed meaningful increases in their available bandwidth, nor have...
Provided by New York University
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White Papers
On-the-Fly Verification of Erasure-Encoded File Transfers (Extended Abstract)
January 1, 2011, 12:00am PST
The quality of peer-to-peer content distribution can suffer from the malicious behavior of participants that corrupt or mislabel content. While systems using simple block-by-block downloading can...
Provided by New York University
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White Papers
Democratizing Content Publication With Coral
January 1, 2011, 12:00am PST
CoralCDN is a peer-to-peer content distribution network that allows a user to run a web site that offers high performance and meets huge demand, all for the price of a cheap broadband Internet...
Provided by New York University
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White Papers
Non-Transitive Connectivity and DHTs
January 1, 2011, 12:00am PST
The most basic functionality of a Distributed Hash Table, or DHT, is to partition a key space across the set of nodes in a distributed system such that all nodes agree on the partitioning. For...
Provided by New York University
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White Papers
Locality Prediction for Oblivious Clients
January 1, 2011, 12:00am PST
To improve performance, large-scale Internet systems require clients to access nearby servers. While centralized systems can leverage static topology maps for rough network distances,...
Provided by New York University
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White Papers
Cryptography Against Continuous Memory Attacks
October 1, 2010, 12:00am PDT
The authors say that a cryptographic scheme is Continuous Leakage-Resilient (CLR), if it allows users to refresh their secret keys, using only fresh local randomness, such that: The scheme remains...
Provided by New York University
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White Papers
Identity-Based Online/Offline Key Encapsulation and Encryption
April 8, 2010, 12:00am PDT
An Identity-Based Online/Offline Encryption (IBOOE) scheme splits the encryption process into two phases. The first phase performs most of the heavy computations, such as modular exponentiation or...
Provided by New York University
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White Papers
Keyboard Acoustic Emanations: An Evaluation of Strong Passwords and Typing Styles
November 24, 2010, 12:00am PST
The sounds resulting from keyboard typing can reveal information about the input data. In this paper, the authors revisit such keyboard acoustic emanations for the purpose of eavesdropping over...
Provided by Polytechnic Institute of New York University
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White Papers
Robust Fuzzy Extractors and Authenticated Key Agreement From Close Secrets
July 22, 2010, 12:00am PDT
Consider two parties holding samples from correlated distributions W and W', respectively that are within distance t of each other in some metric space. These parties wish to agree on a uniformly...
Provided by New York University
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White Papers
Somewhat Non-Committing Encryption and Efficient Adaptively Secure Oblivious Transfer
April 15, 2009, 12:00am PDT
Designing efficient cryptographic protocols tolerating adaptive adversaries, who are able to corrupt parties on the fly as the computation proceeds, has been an elusive task. Indeed, thus far no...
Provided by New York University
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White Papers
Using HB Family of Protocols for Privacy-Preserving Authentication of RFID Tags in a Population
July 7, 2009, 12:00am PDT
Radio Frequency IDentification (RFID) technology is increasingly used in many aspects of daily life. Low-cost RFID devices have numerous applications in military, commercial and medical domains....
Provided by New York University
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White Papers
We Can Remember It for You Wholesale: Implications of Data Remanence on the Use of RAM for True Random Number Generation on RFID Tags
September 7, 2009, 12:00am PDT
Random number generation is a fundamental security primitive for RFID devices. However, even this relatively simple requirement is beyond the capacity of today's average RFID tag. A recently...
Provided by Polytechnic Institute of New York University
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White Papers
Alice Meets Bob: A Comparative Usability Study of Wireless Device Pairing Methods for a "Two-User" Setting
July 27, 2009, 12:00am PDT
When users want to establish wireless communication between/among their devices, the channel has to be bootstrapped first. To prevent any malicious control of or eavesdropping over the...
Provided by Polytechnic Institute of New York University
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White Papers
Estimating the Performance of Hypothetical Cloud Service Deployments: A Measurement-Based Approach
August 9, 2010, 12:00am PDT
To optimize network performance, cloud service providers have a number of options available to them, including co-locating production servers in well-connected Internet eXchange (IX) points,...
Provided by Polytechnic Institute of New York University
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White Papers
You Can't Take It With You: Sunset Provisions For Equity Compensation When Managers Retire, Resign, Or Die
December 1, 2007, 12:00am PST
Company stock option plans have diverse "Sunset" policies for modifying terms of options held by managers who exit the firm. In the S&P 500 sample, these forfeiture, vesting, and expiration...
Provided by New York University
-
White Papers
The Age Of Reason: Financial Decisions Over The Lifecycle
June 7, 2007, 12:00am PDT
The sophistication of financial decisions varies with age: middle-aged adults borrow at lower interest rates and pay fewer fees compared to both younger and older adults. The authors document this...
Provided by New York University
-
White Papers
Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms For Asset Prices
September 10, 2007, 12:00am PDT
This methodological paper presents a class of stochastic processes with appealing properties for theoretical or empirical work in finance and macroeconomics, the "Linearity-generating" class. Its...
Provided by New York University
-
White Papers
The Equilibrium Size Of The Financial Sector
August 1, 2007, 12:00am PDT
Over the past 60 years, the value added of the U.S. financial sector has grown from 2.3% to 7.7% of GDP. The author presents a model of the equilibrium size of this industry and the author studies...
Provided by New York University
-
White Papers
Skill Biased Financial Development: Education, Wages And Occupations In The U.S. Financial Sector
September 1, 2007, 12:00am PDT
Over the past 60 years, the U.S. financial sector has grown from 2.3% to 7.7% of GDP. While the growth in the share of value added has been fairly linear, it hides a dramatic change in the...
Provided by New York University
-
White Papers
Financiers Vs. Engineers: Should The Financial Sector Be Taxed Or Subsidized?
October 1, 2007, 12:00am PDT
The author studies the allocation of human capital in an economy with production externalities, financial constraints and career choices. Agents choose to become entrepreneurs, workers or...
Provided by New York University
-
White Papers
Real Options In A Dynamic Agency Model, With Applications To Financial Development, IPOs, And Business Risk
October 1, 2007, 12:00am PDT
The authors study investment options in a dynamic agency model. Moral hazard creates an option to wait and agency conflicts affect the timing of investment. The model sheds light, theoretically...
Provided by New York University
-
White Papers
Endogenizing Bidders Choice In Divisible Goods Auctions
October 1, 2007, 12:00am PDT
Many financial assets, especially government bonds, are issued by an auction mechanism. An important feature of the design is the auction pricing mechanism: Uniform vs. Discriminatory. Theoretical...
Provided by New York University
-
White Papers
Latent Liquidity And Corporate Bond Yield Spreads
November 16, 2007, 12:00am PST
Recent research has shown that default risk accounts for only a part of the total yield spread on risky corporate bonds relative to their risk-less benchmarks. One candidate for the unexplained...
Provided by New York University
-
White Papers
A Calibratable Model Of Optimal CEO Incentives In Market Equilibrium
November 18, 2007, 12:00am PST
This paper presents a unified framework for understanding the determinants of both CEO incentives and total pay levels in competitive market equilibrium. It embeds a modified principal-agent...
Provided by New York University
-
White Papers
Do Professional Currency Managers Beat The Benchmark?
December 19, 2007, 12:00am PST
The authors investigate an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers. Over the period 1990-2006, excess returns...
Provided by New York University
-
White Papers
Mandatory Disclosure And Operational Risk: Evidence From Hedge Fund Registration
March 6, 2008, 12:00am PST
Mandatory disclosure is a regulatory tool intended to allow market participants to assess operational risk. The authors examine the value of disclosure through the controversial SEC requirement,...
Provided by New York University
-
White Papers
Hedge Fund Due Diligence: A Source Of Alpha In A Hedge Fund Portfolio Strategy
January 21, 2008, 12:00am PST
Due diligence is an important source of alpha in a well designed hedge fund portfolio strategy. It is generally understood that the high returns possible in investing in hedge funds are somewhat...
Provided by New York University
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White Papers
Elusive Return Predictability: Discussion
February 7, 2008, 12:00am PST
Two major conclusions follow from this very careful study. First, sophisticated prediction tools do not fare well relative to naive models predicting return based on past sample means. Second,...
Provided by New York University
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White Papers
Negative Hedging: Performance Sensitive Debt And CEOs? Equity Incentives
December 8, 2007, 12:00am PST
The authors examine the relation between CEOs' equity incentives and their use of performance-sensitive debt contracts. These contracts require higher or lower interest payments when the...
Provided by New York University
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White Papers
Fitting And Testing Vast Dimensional Time-Varying Covariance Models
October 24, 2007, 12:00am PDT
Building models for high dimensional portfolios is important in risk management and asset allocation. Here the authors propose a novel way of estimating models of time-varying covariance's that...
Provided by New York University
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White Papers
When Is Noise Not Noise ? A Microstructure Estimate Of Realized Volatility
February 8, 2008, 12:00am PST
This paper studies the joint distribution of tick by tick returns and durations between trades. Returns are decomposed into changes in full information prices and microstructure noise, but the...
Provided by New York University
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White Papers
Investigating ICAPM With Dynamic Conditional Correlations
February 1, 2008, 12:00am PST
This paper examines the intertemporal relation between expected return and risk for 30 stocks in the Dow Jones Industrial Average. The mean-reverting dynamic conditional correlation model of Engle...
Provided by New York University
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White Papers
Liquidity Risk And Competition In Banking
January 30, 2008, 12:00am PST
Liquidity risk is one of the major risks faced by banks in addition to credit risk, market risk and operating risk. In this paper the authors construct a stylized model of bank management where...
Provided by New York University
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White Papers
Can Microfinance Reduce Portfolio Volatility?
February 18, 2008, 12:00am PST
Microfinance is arguably one of the most effective techniques for poverty alleviation in developing countries. Although traditionally supported by nongovernmental organizations and...
Provided by New York University
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White Papers
Estimating The Implied Risk Neutral Density For The U.S. Market Portfolio
July 30, 2008, 12:00am PDT
The market's risk neutral probability distribution for the value of an asset on a future date can be extracted from the prices of a set of options that mature on that date, but two key technical...
Provided by New York University
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White Papers
Predictability And ?Good Deals? In Currency Markets
August 15, 2008, 12:00am PDT
This paper studies predictability of currency returns over the period 1971-2006. To assess the economic significance of predictability, the authors construct an upper bound on the explanatory...
Provided by New York University
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White Papers
Limited Arbitrage And Liquidity In The Market For Credit Risk
June 17, 2008, 12:00am PDT
Recent research has shown that default risk accounts for only a part of the total yield spread on risky corporate bonds relative to their risk-less benchmarks. One candidate for the unexplained...
Provided by New York University
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White Papers
Deductio Ad Absurdum: Ceos Donating Their Own Stock To Their Own Family Foundations
September 1, 2008, 12:00am PDT
The author studies large charitable stock gifts by Chairmen and CEOs of public companies. These gifts, which are not subject to insider trading law, often, occur just before sharp declines in...
Provided by New York University
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White Papers
Competition And Bias
April 1, 2008, 12:00am PDT
The authors attempt to measure the effect of competition on bias in the context of analyst earnings forecasts, which are known to be excessively optimistic due to conflicts of interest. The...
Provided by New York University
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White Papers
Using Samples Of Unequal Length In Generalized Method Of Moments Estimation
January 18, 2008, 12:00am PST
Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the Generalized Method of Moments (GMM), which...
Provided by New York University
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White Papers
Risk Premia In International Equity Markets Revisited
August 5, 2007, 12:00am PDT
Recent evidence suggests that global equity markets are becoming more risky. The authors find that much of the apparent increase in international variance and covariance of returns can be...
Provided by New York University
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White Papers
Is CEO Pay Really Inefficient? A Survey Of New Optimal Contracting Theories
February 4, 2009, 12:00am PST
The authors argue that executive compensation is set by CEOs themselves rather than boards on behalf of shareholders, since many features of observed pay packages may appear inconsistent with the...
Provided by New York University
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White Papers
Does Hedging Affect Commodity Prices? The Role Of Producer Default Risk
November 18, 2008, 12:00am PST
Do hedging and speculative activity in commodity futures affect spot prices? Yes, when commodity producers have hedging needs. The authors build a model in which producers are risk-averse to...
Provided by New York University
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White Papers
A MEM-based Analysis Of Volatility Spillovers In East Asian Financial Markets
July 20, 2008, 12:00am PDT
Transmission mechanisms in financial markets reflect the degree of integration of capital markets, as well as the relative importance of real economies. Market volatility has components which may...
Provided by New York University
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White Papers
Term Structure Of Risk, The Role Of Known And Unknown Risks And Non-Stationary Distributions
May 29, 2007, 12:00am PDT
In this paper the authors document the presence of a term structure of risk and they propose how to measure it using alternative models to forecast volatility and the Value at Risk at different...
Provided by New York University
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White Papers
Semiparametric Vector MEM
September 1, 2008, 12:00am PDT
In financial time series analysis the authors encounter several instances of non - negative valued processes which exhibit clustering and can be modeled as the product of a vector of conditionally...
Provided by New York University
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White Papers
Priced Risk And Asymmetric Volatility In The Cross-Section Of Skewness
January 10, 2008, 12:00am PST
The authors investigate the sources of skewness in aggregate risk-factors and the cross-section of stock returns. In an ICAPM setting with conditional volatility, they find theoretical time series...
Provided by New York University
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White Papers
On The Economic Sources Of Stock Market Volatility
August 31, 2008, 12:00am PDT
The authors study long historical data series of aggregate stock market volatility, starting in the 19th century, as in Schwert (1989). They formulate models with the long term component driven by...
Provided by New York University
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White Papers
The 2007-2009 Financial Crisis And Executive Compensation: Analysis And A Proposal For A Novel Structure
June 15, 2009, 12:00am PDT
In this paper the authors analyze first how the common executive compensation, which is composed of equity-based compensation (stocks and executive stock options) and a fixed cash compensation,...
Provided by New York University
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White Papers
Crash Risk In Currency Markets
June 1, 2009, 12:00am PDT
How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, the authors propose a simple structural model that includes both Gaussian and...
Provided by New York University
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White Papers
Background Risk And Trading In A Full-Information Rational Expectations Economy
August 19, 2009, 12:00am PDT
In this paper the authors assume that investors have the same information, but trade due to the evolution of their non-market wealth. In the formulation, investors rebalance their portfolios in...
Provided by New York University
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White Papers
Illiquidity Or Credit Deterioration: A Study Of Liquidity In The US Corporate Bond Market During Financial Crises
July 1, 2009, 12:00am PDT
The authors use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 30,000 bonds. The analysis explores time-series and cross-sectional aspects of...
Provided by New York University
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White Papers
Creditor Rights And Corporate Risk-Taking
June 27, 2009, 12:00am PDT
The authors analyze the link between creditor rights and firms' investment policies, proposing that stronger creditor rights in bankruptcy reduce corporate risk-taking. In cross-country analysis,...
Provided by New York University
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White Papers
The Re-Emergence Of Distressed Exchanges In Corporate Restructurings
March 1, 2009, 12:00am PST
In 2008 and 2009, bondholders of ailing companies were affected by a reemergence of an important corporate restructuring strategy, known as a Distressed Exchange. Fourteen companies in 2008...
Provided by New York University
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