Arun Prakash - Academia.edu (original) (raw)
Papers by Arun Prakash
SSRN Electronic Journal, 2000
We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying f... more We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, threemoment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund objectives. Our results show that the economic cycle does affect the mutual fund performance especially over the bear periods. However, the results from different fund objectives are inconclusive, implying that abnormal returns are not objective-specific. Moreover, meta analysis shows that the abnormal returns are statistically significantly different across deciles and models, meaning that each decile and model yields different abnormal returns.
SSRN Electronic Journal, 2000
We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying f... more We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, threemoment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund objectives. Our results show that the economic cycle does affect the mutual fund performance especially over the bear periods. However, the results from different fund objectives are inconclusive, implying that abnormal returns are not objective-specific. Moreover, meta analysis shows that the abnormal returns are statistically significantly different across deciles and models, meaning that each decile and model yields different abnormal returns.
SSRN Electronic Journal, 2000
We attempt in this study to estimate the fundamental equity value of a firm by combining two sepa... more We attempt in this study to estimate the fundamental equity value of a firm by combining two separate capital valuation techniques, namely the corporate debt valuation of and the rational pricing technique of internet companies of Schwartz and Moon . We use the Black Scholes (1973) approach proposed by to infer an estimate of the value of the debt of the firm, and the pricing methodology of internet companies pioneered by to estimate the total value of the firm. Making use of the fact that firm value is made up of debt and equity, we first derive a closed-form solution for the value of the debt and then back out implied fundamental equity values for three firms in the Information Technology sector, and show how in two cases out of three the share price is actually undervalued. We also provide inferences on the debt risk premium.
The Financial Review, 1986
Page 1. The Financial Review-Vol. 21, No. 1 --February 1986 A SIMPLIFYING PERFORMANCE MEASURE REC... more Page 1. The Financial Review-Vol. 21, No. 1 --February 1986 A SIMPLIFYING PERFORMANCE MEASURE RECOGNIZING SKEWNESS Arun J. Prakash and Robert M. Bear * INTRODUCTION Composite performance measures ...
The Financial Review, 1987
Managerial and Decision Economics, 1994
This paper presents a model of entrepreneurial wealth maximization for the pricing of initial pub... more This paper presents a model of entrepreneurial wealth maximization for the pricing of initial public offerings (IPOs). It is an extension of one previously presented in the literature. The model shows that personal tax rates on ordinary income and capital gains may, in part, determine IPO pricing: an increase in the capital gains tax rate should lower the degree of underpricing. An empirical analysis of the effect of the Tax Reform Act of 1986, which raised the capital gains tax rate, shows that the average degree of underpricing did decrease as predicted, and that this occurs after controlling for other possible influences.
In the UK, SSAP 13 requires that firms immediately expense most of their R&D expenditures. The re... more In the UK, SSAP 13 requires that firms immediately expense most of their R&D expenditures. The reported earnings of high-R&D expenditure firms are therefore likely to convey less valuerelevant information to investors than those of less research-intensive firms. Using a sample of firms from the high-R&D UK biotechnology/pharmaceutical sector, we find that earnings announcements have a much lower price impact than drug development announcements. We also find that there are significantly more 'good news' voluntary announcements than 'bad news' announcements. Furthermore, our findings indicate that these firms are more likely to announce late than early stage developments, and that the pattern of disclosures, and the market's reaction to them, varies between larger, dominant firms and their smaller counterparts.
Decision Sciences, 1996
It is generally believed that risk-averse managers will not accept unfair gambles and therefore m... more It is generally believed that risk-averse managers will not accept unfair gambles and therefore may not have the incentive to invest in high-risk projects, products or technology. This paper argues that this is not necessarily so. Rational, risk-averse managers with sufficient preference for positive skewness may undertake projects with payoff distributions that are unfair gambles. Furthermore, the minimum required payoff is shown to be less for managers with preference for positive skewness than otherwise. Thus, a risk-averse manager with preference for positive skewness may accept potentially innovative high-risk projects that are rejected by those without such preference.
The Journal of Wealth Management, 2002
Purpose – There is empirical evidence that a firm's addition to S&P 500 results in significan... more Purpose – There is empirical evidence that a firm's addition to S&P 500 results in significant abnormal returns and an increase in a stock's liquidity. The purpose of this paper is to argue that changes in the information environment after the year 2000 due to the implementation of Regulation Fair Disclosure (FD), decimalization and Sarbanes Oxley Act, should result in
Journal of Financial Markets, 2009
For a set of firms with concentrated insider ownership, we find that (a) the bidask spread change... more For a set of firms with concentrated insider ownership, we find that (a) the bidask spread changes significantly around the board meeting dates, and (b) the actual number of transactions by insiders increases following the board meetings. We also find that there is a statistically significant relationship between spread and the number of insider trades surrounding the board meeting dates.
Commercial banks have traditionally been a primary force in the tax exempt bond market. The Tax R... more Commercial banks have traditionally been a primary force in the tax exempt bond market. The Tax Reform Act of 1986 provided major incentive changes. The purpose of this study is to investigate the motivation for bank participation in the municipal bond market in order to determine which theory, market segmentation versus excess funds, is the most predominant. Empirical results from
Journal of Behavioral Finance, 2012
We investigate the role of financial education in household portfolio allocation decisions using ... more We investigate the role of financial education in household portfolio allocation decisions using data from a survey of 1,382 professors at universities across the United States. The results suggest that knowledge of diversification increases the likelihood that investors will efficiently allocate their investments across the major asset classes as well as invest in foreign assets. However, we find that investors
2013 IEEE Globecom Workshops (GC Wkshps), 2013
ABSTRACT This standardization oriented paper describes the SDN (Software-Driven Networking) Enabl... more ABSTRACT This standardization oriented paper describes the SDN (Software-Driven Networking) Enablers in the ETSI AFI GANA Reference Model for Autonomic Management & Control (an emerging standard from ETSI), and impact of Virtualization. This is because in this study we see that Autonomic Management & Control and SDN (Software-Driven Networking) share the same objective of enabling programmable, manageable, dynamically self-adaptable and cost-effective networks and services. SDN enablers in the AFI GANA Model are: (1) Modularization of Logically centralized Control Software (the GANA Network Level DEs in the GANA Knowledge Plane) and Reference Points Definitions; (2) Primitives for Programmability at various layers; (3) Use of Runtime Executable Behavioral Models to complement the use of Policy-Control and dynamic policies; (4) The role and value the GANA MBTS (Model Based Translation Service) brings in SDN; (5) The role and value the GANA ONIX (Overlay Network for Information eXchange) brings in SDN; (6) Interworking GANA Knowledge Plane Decision Elements and SDN Controllers; (7) GANA “Decision-Making-Elements” logics as “software” that can be loaded into nodes and network (enabling “software-empowered networks”). The study is important because it is now becoming critical to study and explore the relationships between Autonomic Management & Control and SDN paradigms, as well as Virtualization, identify complementarities between the paradigms and close the gaps by unifying SDN concepts and associated frameworks with the emerging ETSI AFI GANA Reference Model standard for Autonomic Networking, Cognitive Networking and Self-Management, a hybrid model enabling to combine both centralized and distributed control.
Lecture Notes in Computer Science, 2009
T. Spyropoulos and KA Hummel (Eds.): IWSOS 2009, LNCS 5918, pp. 262268, 2009. © IFIP Internation... more T. Spyropoulos and KA Hummel (Eds.): IWSOS 2009, LNCS 5918, pp. 262268, 2009. © IFIP International Federation for Information Processing 2009 ... Addressing Stability of Control-Loops in the Context of ... Nikolay Tcholtchev, Ranganai Chaparadza, and Arun Prakash
2010 Third International Conference on Communication Theory, Reliability, and Quality of Service, 2010
Requirements of a Model-Driven Methodology and Tool-Chain for the Design and ... Verification of ... more Requirements of a Model-Driven Methodology and Tool-Chain for the Design and ... Verification of Hierarchical Controllers of an Autonomic Network ... Arun Prakash, Ranganai Chaparadza Modeling and Testing for System and Service Solutions Fraunhofer FOKUS Institute for ...
2011 IEEE GLOBECOM Workshops (GC Wkshps), 2011
This paper discusses some of the key points related to Standardization that need to be noted and ... more This paper discusses some of the key points related to Standardization that need to be noted and discussed in the wide ICT community, to help understand the implication and impact of emerging and future network technologies on the various stakeholders of the global ICT ecosystems. The implication of emerging and future network technologies is that it is now the time
Applied Financial Economics, 2011
Critics of Regulation Fair Disclosure (FD) have argued that its enactment would result in not onl... more Critics of Regulation Fair Disclosure (FD) have argued that its enactment would result in not only a decrease in asymmetric information but a decrease in total amount of information disclosed by firms. We investigate this conjecture and find (1) no change in market risk premium, (2) an increase in risk premiums for size and (3) an increase in the distress
SSRN Electronic Journal, 2000
We examine the robustness of the Fama-French three-factor model in several bear and bull market p... more We examine the robustness of the Fama-French three-factor model in several bear and bull market periods. We test for the significance of the individual regression parameters as well as for the equality of the coefficient vectors in each of the adjacent bear-bull periods. We find that the model performs equally well in both bear and bull periods. In comparison to earlier bull-bear periods, however, the coefficient of determination decreases significantly in later periods. Furthermore, using cumulative sum of squares of recursive residuals and log likelihood ratio techniques, we find a structural change in the model in the year 2000. JEL Classification: G12; G30
SSRN Electronic Journal, 2000
ABSTRACT
SSRN Electronic Journal, 2000
We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying f... more We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, threemoment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund objectives. Our results show that the economic cycle does affect the mutual fund performance especially over the bear periods. However, the results from different fund objectives are inconclusive, implying that abnormal returns are not objective-specific. Moreover, meta analysis shows that the abnormal returns are statistically significantly different across deciles and models, meaning that each decile and model yields different abnormal returns.
SSRN Electronic Journal, 2000
We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying f... more We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, threemoment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund objectives. Our results show that the economic cycle does affect the mutual fund performance especially over the bear periods. However, the results from different fund objectives are inconclusive, implying that abnormal returns are not objective-specific. Moreover, meta analysis shows that the abnormal returns are statistically significantly different across deciles and models, meaning that each decile and model yields different abnormal returns.
SSRN Electronic Journal, 2000
We attempt in this study to estimate the fundamental equity value of a firm by combining two sepa... more We attempt in this study to estimate the fundamental equity value of a firm by combining two separate capital valuation techniques, namely the corporate debt valuation of and the rational pricing technique of internet companies of Schwartz and Moon . We use the Black Scholes (1973) approach proposed by to infer an estimate of the value of the debt of the firm, and the pricing methodology of internet companies pioneered by to estimate the total value of the firm. Making use of the fact that firm value is made up of debt and equity, we first derive a closed-form solution for the value of the debt and then back out implied fundamental equity values for three firms in the Information Technology sector, and show how in two cases out of three the share price is actually undervalued. We also provide inferences on the debt risk premium.
The Financial Review, 1986
Page 1. The Financial Review-Vol. 21, No. 1 --February 1986 A SIMPLIFYING PERFORMANCE MEASURE REC... more Page 1. The Financial Review-Vol. 21, No. 1 --February 1986 A SIMPLIFYING PERFORMANCE MEASURE RECOGNIZING SKEWNESS Arun J. Prakash and Robert M. Bear * INTRODUCTION Composite performance measures ...
The Financial Review, 1987
Managerial and Decision Economics, 1994
This paper presents a model of entrepreneurial wealth maximization for the pricing of initial pub... more This paper presents a model of entrepreneurial wealth maximization for the pricing of initial public offerings (IPOs). It is an extension of one previously presented in the literature. The model shows that personal tax rates on ordinary income and capital gains may, in part, determine IPO pricing: an increase in the capital gains tax rate should lower the degree of underpricing. An empirical analysis of the effect of the Tax Reform Act of 1986, which raised the capital gains tax rate, shows that the average degree of underpricing did decrease as predicted, and that this occurs after controlling for other possible influences.
In the UK, SSAP 13 requires that firms immediately expense most of their R&D expenditures. The re... more In the UK, SSAP 13 requires that firms immediately expense most of their R&D expenditures. The reported earnings of high-R&D expenditure firms are therefore likely to convey less valuerelevant information to investors than those of less research-intensive firms. Using a sample of firms from the high-R&D UK biotechnology/pharmaceutical sector, we find that earnings announcements have a much lower price impact than drug development announcements. We also find that there are significantly more 'good news' voluntary announcements than 'bad news' announcements. Furthermore, our findings indicate that these firms are more likely to announce late than early stage developments, and that the pattern of disclosures, and the market's reaction to them, varies between larger, dominant firms and their smaller counterparts.
Decision Sciences, 1996
It is generally believed that risk-averse managers will not accept unfair gambles and therefore m... more It is generally believed that risk-averse managers will not accept unfair gambles and therefore may not have the incentive to invest in high-risk projects, products or technology. This paper argues that this is not necessarily so. Rational, risk-averse managers with sufficient preference for positive skewness may undertake projects with payoff distributions that are unfair gambles. Furthermore, the minimum required payoff is shown to be less for managers with preference for positive skewness than otherwise. Thus, a risk-averse manager with preference for positive skewness may accept potentially innovative high-risk projects that are rejected by those without such preference.
The Journal of Wealth Management, 2002
Purpose – There is empirical evidence that a firm's addition to S&P 500 results in significan... more Purpose – There is empirical evidence that a firm's addition to S&P 500 results in significant abnormal returns and an increase in a stock's liquidity. The purpose of this paper is to argue that changes in the information environment after the year 2000 due to the implementation of Regulation Fair Disclosure (FD), decimalization and Sarbanes Oxley Act, should result in
Journal of Financial Markets, 2009
For a set of firms with concentrated insider ownership, we find that (a) the bidask spread change... more For a set of firms with concentrated insider ownership, we find that (a) the bidask spread changes significantly around the board meeting dates, and (b) the actual number of transactions by insiders increases following the board meetings. We also find that there is a statistically significant relationship between spread and the number of insider trades surrounding the board meeting dates.
Commercial banks have traditionally been a primary force in the tax exempt bond market. The Tax R... more Commercial banks have traditionally been a primary force in the tax exempt bond market. The Tax Reform Act of 1986 provided major incentive changes. The purpose of this study is to investigate the motivation for bank participation in the municipal bond market in order to determine which theory, market segmentation versus excess funds, is the most predominant. Empirical results from
Journal of Behavioral Finance, 2012
We investigate the role of financial education in household portfolio allocation decisions using ... more We investigate the role of financial education in household portfolio allocation decisions using data from a survey of 1,382 professors at universities across the United States. The results suggest that knowledge of diversification increases the likelihood that investors will efficiently allocate their investments across the major asset classes as well as invest in foreign assets. However, we find that investors
2013 IEEE Globecom Workshops (GC Wkshps), 2013
ABSTRACT This standardization oriented paper describes the SDN (Software-Driven Networking) Enabl... more ABSTRACT This standardization oriented paper describes the SDN (Software-Driven Networking) Enablers in the ETSI AFI GANA Reference Model for Autonomic Management & Control (an emerging standard from ETSI), and impact of Virtualization. This is because in this study we see that Autonomic Management & Control and SDN (Software-Driven Networking) share the same objective of enabling programmable, manageable, dynamically self-adaptable and cost-effective networks and services. SDN enablers in the AFI GANA Model are: (1) Modularization of Logically centralized Control Software (the GANA Network Level DEs in the GANA Knowledge Plane) and Reference Points Definitions; (2) Primitives for Programmability at various layers; (3) Use of Runtime Executable Behavioral Models to complement the use of Policy-Control and dynamic policies; (4) The role and value the GANA MBTS (Model Based Translation Service) brings in SDN; (5) The role and value the GANA ONIX (Overlay Network for Information eXchange) brings in SDN; (6) Interworking GANA Knowledge Plane Decision Elements and SDN Controllers; (7) GANA “Decision-Making-Elements” logics as “software” that can be loaded into nodes and network (enabling “software-empowered networks”). The study is important because it is now becoming critical to study and explore the relationships between Autonomic Management & Control and SDN paradigms, as well as Virtualization, identify complementarities between the paradigms and close the gaps by unifying SDN concepts and associated frameworks with the emerging ETSI AFI GANA Reference Model standard for Autonomic Networking, Cognitive Networking and Self-Management, a hybrid model enabling to combine both centralized and distributed control.
Lecture Notes in Computer Science, 2009
T. Spyropoulos and KA Hummel (Eds.): IWSOS 2009, LNCS 5918, pp. 262268, 2009. © IFIP Internation... more T. Spyropoulos and KA Hummel (Eds.): IWSOS 2009, LNCS 5918, pp. 262268, 2009. © IFIP International Federation for Information Processing 2009 ... Addressing Stability of Control-Loops in the Context of ... Nikolay Tcholtchev, Ranganai Chaparadza, and Arun Prakash
2010 Third International Conference on Communication Theory, Reliability, and Quality of Service, 2010
Requirements of a Model-Driven Methodology and Tool-Chain for the Design and ... Verification of ... more Requirements of a Model-Driven Methodology and Tool-Chain for the Design and ... Verification of Hierarchical Controllers of an Autonomic Network ... Arun Prakash, Ranganai Chaparadza Modeling and Testing for System and Service Solutions Fraunhofer FOKUS Institute for ...
2011 IEEE GLOBECOM Workshops (GC Wkshps), 2011
This paper discusses some of the key points related to Standardization that need to be noted and ... more This paper discusses some of the key points related to Standardization that need to be noted and discussed in the wide ICT community, to help understand the implication and impact of emerging and future network technologies on the various stakeholders of the global ICT ecosystems. The implication of emerging and future network technologies is that it is now the time
Applied Financial Economics, 2011
Critics of Regulation Fair Disclosure (FD) have argued that its enactment would result in not onl... more Critics of Regulation Fair Disclosure (FD) have argued that its enactment would result in not only a decrease in asymmetric information but a decrease in total amount of information disclosed by firms. We investigate this conjecture and find (1) no change in market risk premium, (2) an increase in risk premiums for size and (3) an increase in the distress
SSRN Electronic Journal, 2000
We examine the robustness of the Fama-French three-factor model in several bear and bull market p... more We examine the robustness of the Fama-French three-factor model in several bear and bull market periods. We test for the significance of the individual regression parameters as well as for the equality of the coefficient vectors in each of the adjacent bear-bull periods. We find that the model performs equally well in both bear and bull periods. In comparison to earlier bull-bear periods, however, the coefficient of determination decreases significantly in later periods. Furthermore, using cumulative sum of squares of recursive residuals and log likelihood ratio techniques, we find a structural change in the model in the year 2000. JEL Classification: G12; G30
SSRN Electronic Journal, 2000
ABSTRACT