Papers by Yochanan Shachmurove
SSRN Electronic Journal, 2000
ABSTRACT This paper explores the impact of volatility estimation methods on theoretical option va... more ABSTRACT This paper explores the impact of volatility estimation methods on theoretical option values based upon the Black-Scholes-Merton (BSM) model. Volatility is the only input used in the BSM model that cannot be observed in the market or a priori determined in a contract. Thus, properly calculating volatility is crucial. Two approaches to estimate volatility are implied volatility and historical prices. Iterative techniques are applied, based on daily S&P index options. Additionally, using option data on S&P 500 Index listed on the Chicago Board of Options Exchange, historical volatility can be estimated.
This paper seeks to draw attention to a flaw in the firm’s Free Cash Flow model and related state... more This paper seeks to draw attention to a flaw in the firm’s Free Cash Flow model and related statement widely accepted in Corporate Finance. We argue that the common offset of any Current Liabilities against Current Assets distorts the FCF size, composition, and volatility, thereby misstating the firm or project size, debt and assets composition, financial leverage, risk profile, and
The objective of this paper is to examine the dynamic interrelations among major world stock mark... more The objective of this paper is to examine the dynamic interrelations among major world stock markets through the use of artificial neural networks. The data was derived from daily stock market indices of the major world stock markets of Canada, France, Germany, Japan, United Kingdom (UK), the United States (US), and the world excluding US (World). Multilayer Perceptron models with
SSRN Electronic Journal, 2000
This paper attempts to compare the economic success of immigrants and natives in Germany. Employi... more This paper attempts to compare the economic success of immigrants and natives in Germany. Employing data from German Socioeconomic Panel, the paper investigates the factors affecting self-employment as well as compares the income of self-employed and employed workers among four groups -West Germans, East Germans, guest workers and ethnic immigrants. Increasing age, higher education and self-employed parents increases probability of an individual's self-employment, with the last two applying only to West Germans. The self-employed earn more than their salaried counterparts, except for East Germans. Despite self-employed immigrants having the highest earnings of all groups, self-employment rates remain low among immigrants.
SSRN Electronic Journal, 2000
This paper explores several theories regarding how China has become highly successful in capturin... more This paper explores several theories regarding how China has become highly successful in capturing world export markets. The paper concludes that increased competitiveness is dependant on, but not limited to several factors discussed in detail including, exchange rate undervaluation, low wage rates and excess labor resources. Direct foreign investment which enabled China to produce products that meet world market specifications, brought new technology and foreign management, played a key factor. Reasons for China's advantage over other East Asian countries are explored. The merits and methods of various measures of China's competitiveness and comparative competitiveness are also discussed.
Abstract Random,Walk and Efficient Market Hypotheses are central ideas in explaining financial ma... more Abstract Random,Walk and Efficient Market Hypotheses are central ideas in explaining financial market efficiencies. The assumption that market behavior embodies,and reflects relevant information has a great impact on securities prices. Any change in the relevant information causes price adjustment. In contrast, technical analysts argue that prices gradually adjust to new information. Thus, historical analysis is useful in diagnosing the repeated
This article investigates home attributes that attract residential burglars in choosing a target.... more This article investigates home attributes that attract residential burglars in choosing a target. These attributes are the location of the home, its physical appearance, demographic characteristics of the residents, and the security precautions present. The theoretical foundation of the empirical model is the criminal utility maximization behavior that considers costs and benefits as formulated by Becker. However, this article introduces
SSRN Electronic Journal, 2000
SSRN Electronic Journal, 2003
The World Economy, 2006
This paper evaluates factors responsible for the competitiveness of China in the world economy an... more This paper evaluates factors responsible for the competitiveness of China in the world economy and relative to its East Asian rivals. China has been highly successful in capturing world export markets. Chinese competitiveness is not just a matter of an undervalued exchange and extremely low labor costs. It reflects primarily the coincidence of favorable cost conditions with improvements in China's ability to produce products that meet world market specifications. These improvements are closely related to foreign participation in China's economy through foreign direct investment and joint venture enterprises.
Review of Development Economics, 2011
This paper examines and resolves a puzzling issue associated with less developed country (LDC) ex... more This paper examines and resolves a puzzling issue associated with less developed country (LDC) export compositions. Since the newly industrialized country (NIC) takeoff during the early 1970s, LDC exports have involved an increasingly broader and diversified export base. Yet trade theories, both "old" that focus on classic comparative advantage, and "new" which rely on scale economies, lead to expectations of growing specialization as a concomitant of LDC takeoff. This study examines periods of rapid growth and structural transformation of trade for a representative group of LDCs covering a wide geographic and temporal sample.
Papers in Regional Science, 2005
This article investigates home attributes that attract residential burglars in choosing a target.... more This article investigates home attributes that attract residential burglars in choosing a target. These attributes are the location of the home, its physical appearance, demographic characteristics of the residents, and the security precautions present. The theoretical foundation of the empirical model is the criminal utility maximization behavior that considers costs and benefits as formulated by Becker. However, this article introduces to the model the spatial dimension of the burglar's search for a target. The incidence of burglary is the dependent variable and is measured in a dichotomy scale. The empirical analysis utilizes a survey database of burgled and non-burgled homes that was conducted by the researchers. A logit model is used for the investigation, and the effects of the explanatory variables are calculated as probabilities. The database is unique in the wealth of attributes of individual homes that are relevant to burglars' decision process.
Justice Quarterly, 1996
Home surveys and ethnographic studies have demonstrated that alarms are effective in deterring in... more Home surveys and ethnographic studies have demonstrated that alarms are effective in deterring intruders. Local police departments across North America, however, face significant difficulties in responding to ever-increasing false activations and in managing alarm registrations. Local, county, and state governments must know whether alarms create a net benefit or a net burden to society as a whole. In this paper,
Journal of Policy Modeling, 1996
This paper evaluates the net benefits yielded by residential and commercial burglar and fire alar... more This paper evaluates the net benefits yielded by residential and commercial burglar and fire alarm systems. The policy issue addressed is whether or not alarms should be encouraged by local police departments as a crime prevention measure. It is shown that the total benefits of burglar alarm ownership outweigh the total costs for the combined and separate commercial and residential units. Police respond to each activation with two patrol cars. On the average, alarms are activated 1.12 times a year, and 94 to 98 percent of all activations are false. Thus, alarms impose a significant burden on police resources. Additionally, the fear of being fined is not an effective deterrent against the installation of a burglar alarm. The data was gathered from a suburban community in Pennsylvania that is a prototype for many U.S. suburban localities. The data is regarding individual properties collected from police files on the attributes of burglaries and alarm ownership. Attributes of properties were derived from the real estate board of the county. Data on incidents and the value of property stolen was obtained from questionnaires sent out to all burglary victims.
Journal of Policy Modeling, 1996
and This paper provides an examination of the concept of "foreign dependency," with focus on defe... more and This paper provides an examination of the concept of "foreign dependency," with focus on defense-industry usage. The topic has taken on a new urgency as of late when it has been noted that the very hi-tech weapons, generally given credit in Desert Storm, consist of critical components and subsystems that are not, and perhaps cannot be produced in the United States. The problem is a relevant one across the technological spectrum. Thus, it may be as difficult for the United States to assure an adequate supply of chemically treated boots, as to provide the latest microchip sensors.
Journal of Asian Economics, 1994
This paper examines the intra-industry trade of the four East Asian Newly Industrialized Countrie... more This paper examines the intra-industry trade of the four East Asian Newly Industrialized Countries (Hong Kong, Singapore, South Korea and Taiwan) with European markets, Japan and the United States over the period 1965-1990. Five hypotheses are tested: (1) the effects of product differentiation; (2) the presence of scale economies; (3) the broadening of economic bases as the country's GNP increases; (4) the influence of multinational corporations (MNCs); and (5) the income-similarity (Linder) Hypothesis. The paper notes the empirical relevance of Inter-Industry trade for NIC exports, and finds empirical support for several theoretical explanations of this phenomenon. (JEL F14
International Migration, 2007
Germany. We pay closer attention to Turks, since they are the largest immigrant group with a stro... more Germany. We pay closer attention to Turks, since they are the largest immigrant group with a strong entrepreneurial tradition, and the self-employed Turks in Germany represent about 70% of all Turkish entrepreneurs in the European Union. We identify the characteristics of the self-employed individuals and understand their underlying drive into selfemployment. At the same time we investigate how immigrant entrepreneurs fare in the labor market compared to natives. Employing data from the German Socioeconomic Panel 2000 release we find that the probability of self-employment increases significantly with age for all groups albeit at a decreasing rate. Among immigrants, Turks are twice as likely to choose self-employment as any other immigrant group. The age-earnings profiles of self-employed German and immigrant men are concave and surprisingly similarly shaped.
International Journal of Manpower, 2006
Global Finance Journal, 2013
The volatility of an asset price measures how uncertain we are about future asset price movements... more The volatility of an asset price measures how uncertain we are about future asset price movements. It is one of the factors affecting option price and the only input into the Black-Scholes model that cannot be directly observed. Thus, estimating volatility properly is vital. Two approaches to calculating volatility are historical and implied volatilities. Using index options listed on the Chicago Board of Options Exchange, this paper focuses on historical volatility. Since numerous methods of estimating volatility may provide different results, this paper assesses the impact of volatility estimation method on theoretical option values.
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Papers by Yochanan Shachmurove