计量经济分析 = Econometric analysis

The science of the total environment

Investor Psychology and Security Market Under- and Overreactions

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Market Liquidity: Asset Pricing with Liquidity Risk

Handbook of the Economics of Finance

In the competitive and globalized scenario, organizations are interested in enhancing employee---organization relationship. Perceived organizational support is one way to understand employee---organization relationship. This study examines the impact of various work-related experiences of healthcare professionals on perceived organizational support. The work experience comprises employees' experience with i) formal support through human resource practices and facility in the workplace and ii) informal social support from supervisors and coworkers in the workplace. A survey is conducted among healthcare professionals including medical officers and staff nurses working in primary health centers in the state of Tamil Nadu. The results of the study proved the positive impact of human resource practices (such as pay and rewards, and job autonomy), social support (such as supervisor support and coworker support), and health facility on perceived organizational support. The career growth opportunities showed a negative impact on perceived organizational support. The supervisor support and coworker support showed higher influence on perceived organizational support than human resource practices and health facility. The study has contributed to the literature on human resource practices and perceived organizational support. The results of the study have provided inputs on how to enhance perceived organizational support of healthcare professionals and about healthcare professionals' perception of human resource practices that could be incorporated while making policies related to public health.

https://www.tpbin.com/Uploads/Subjects/082d4d26-4289-4a08-8b51-d58a1ee24bfa.pdf

Impact of work experiences on perceived organizational support: a study among healthcare professionals

We examine if macroeconomic factors impact cash holdings and how it influences the speed of adjustment of cash to target levels using the Arellano-Bover/Blundell-Bond dynamic panel model. We analys...

Impact of Macroeconomic Factors on Cash Holdings?: A Dynamic Panel Model:

This paper investigates the determinants of non-performing advances (NPA) in the Indian banking system with the help of panel data modeling. Panel dataset of 31 Indian banks with yearly data that spans the period from 2000 to 2012 totalling 372 firm years has been analyzed. The study examined the impact of macroeconomic variables and bank specific characteristics upon the non-performing advances of the banks. Macro-economic variables had greater impact on Gross NPA ratio compare to NNPA ratio. This is because NNPA depends upon the NPA provisions made by the bank. Among macro-economic variables GDP, construction expenditure, growth rate in per capita income, foreign exchange reserves, stock market index and volatility have statistically significant inverse relationship with NPA ratios. This infers that economic growth coupled with positive stock market and foreign exchange market performance will indicate the reduction in nonperforming loans and the banks can go forward with credit growth expansion plans.

http://psrcentre.org/images/extraimages/27 214306.pdf

Determinants of non-performing advances in Indian banking system

Does religion affect cross-border acquisitions? Tales from developed and emerging economies

Forecasting interest rates is of great concern for financial researchers, economists and players in the fixed income markets. The purpose of this study is to develop an appropriate model for forecasting the short-term interest rates i.e., commercial paper rate, implicit yield on 91 day treasury bill, overnight MIBOR rate and call money rate. The short-term interest rates are forecasted using univariate models, Random Walk, ARIMA, ARMA-GARCH and ARMA-EGARCH and the appropriate model for forecasting is determined considering six-year period from 1999. The results show that interest rates time series have volatility clustering effect and hence GARCH based models are more appropriate to forecast than the other models. It is found that for commercial paper rate ARIMA-EGARCH model is most appropriate model, while for implicit yield 91 day Treasury bill, overnight MIBOR rate and call money rate, ARIMA-GARCH model is the most appropriate model for forecasting.

M. Thenmozhi

Papers

Impact of work experiences on perceived organizational support: a study among healthcare professionals

Impact of Macroeconomic Factors on Cash Holdings?: A Dynamic Panel Model:

Determinants of non-performing advances in Indian banking system

Does religion affect cross-border acquisitions? Tales from developed and emerging economies

Forecasting Short Term Interest Rates Using ARMA, ARMA-GARCH and ARMA-EGARCH Models