Faculty of Business, Economics and Law (Te Ara Pakihi, Te Ōhanga Me Te Ture)

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The Faculty of Business, Economics and Law - Te Ara Pakihi, Te Ōhanga Me Te Ture is committed to conducting research that matters. Research that matters is both research of high academic quality and impact, and research of relevance and value for business, the professions, government and society. The Faculty of Business, Economics and Law, comprises The Business School - Te Kura Kaipakihi and The Law School - Te Kura Ture.

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Browsing Faculty of Business, Economics and Law (Te Ara Pakihi, Te Ōhanga Me Te Ture) by Subject "1403 Econometrics"

Now showing 1 - 3 of 3
  • Item
    Aerospace Competition, Investor Attention, and Stock Return Comovement
    (Elsevier BV, 2023-11-01) Do, HX; Nguyen, NH; Nguyen, QMP; Truong, C
    Fierce aerospace competition among global superpowers has resulted in strong public attention on satellite launch events in the U.S. Given limited attentional resources, U.S. investors pay more attention to market-level shocks than to firm-specific shocks, making stock returns comove more with the market on satellite launch days than on other days. We find that the effect is significantly stronger for military-related satellite launches, launches before the dissolution of the former Soviet Union, and international satellite launches by other competitors, highlighting a greater concern for national security. A trading strategy that exploits the potential satellite-induced mispricing yields an annualized abnormal risk-adjusted return of up to 17% within the three-day window around launch date. Our results are robust to a battery of robustness analyses that consider the different characteristics of satellite launches, the exclusion of aerospace firms, and stock return comovement with industries.
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    Literacy and Numeracy Skills and Life-Course Outcomes: Evidence from PIAAC and Linked Administrative Data
    (Australian Journal of Labour Economics (AJLE), 2024-10-15) Meehan, Lisa; Pacheco, Gail; Schober, Thomas
    This paper examines the life-course trajectories of NZ adults across different literacy and numeracy skill levels. This is done by using skill information for the working-age adult population (aged 16-65 years) collected in the Survey of Adult Skills (PIAAC). This sample is then linked with administrative data to track their life-course outcomes from 2008 to 2020. The outcomes of the one-fifth of NZ working-age adults who were assessed at below Level 2 in either literacy or numeracy (or both) are compared with those at or above this baseline. It finds that adults with low measured skills have less favourable outcomes in a number of areas. They have lower rates of educational attainment, lower employment rates and average earnings, higher rates of hospitalisation, and higher rates of criminal offending and convictions. In addition, outcomes for Māori and Pacific peoples in both the low-skills and above-baseline groups are generally less favourable than those of their NZ European counterparts. For example, even among those with above-baseline skills, Māori and Pacific peoples have lower average earnings than NZ Europeans. These results provide a quantifiable evidence base regarding the role of literacy and numeracy skills with respect to a range of wellbeing outcomes over the course of an individual’s life.
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    US Cross-Listing and Domestic High-Frequency Trading: Evidence From Canadian Stocks
    (Elsevier BV, 2023-03-24) Dodd, Olga; Frijns, Bart; Indriawan, Ivan; Pascual, Roberto
    We find that US cross-listing of Canadian stocks enhances domestic high-frequency trading (HFT) activity in the form of both opportunistic trading and market-making. First, US cross-listing boosts HFT low-latency cross-border arbitrage. This highly correlated HFT arbitrage activity across markets enhances stock price efficiency by correcting mispricing. Second, US cross-listing leads to an increase in news trading activity by high-frequency traders around US public macro-news releases. Finally, cross-listing increases a stock’s reliance on high-frequency market makers to provide liquidity. Yet, we find no evidence of higher fragility in liquidity supply after cross-listing.
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