Browsing by Author "Khaled, Mohammed S"

Now showing 1 - 7 of 7

Open Access
Employment participation, unemployment and non market work: Composition models of the United States labour force
(Te Herenga Waka—Victoria University of Wellington, 2018) Jackson, L Fraser; Khaled, Mohammed S
Data on the proportions in each of the labour force status categories sum to one and form a composition. Using the log ratios of the parts and a transform to orthogonal coordinates in a lower dimension provides a consistent way of handling this constraint. This paper emphasizes that a composition is a vector of values not a single number and shows a coordinate for employment participation is directly associated with a coordinate defining the level of search by those without jobs.The model is extended to deal with heterogeneity due to gender and current status and to generate a new analysis of the gross flows data. The associations observed provide evidence that micro decisions can be strongly modified by the macro situation and a Keynesian demand driven framework fits very well.
Open Access
Estimating bias of technical progress with a small dataset
(Te Herenga Waka—Victoria University of Wellington, 2017) Khaled, Mohammed S
Economic historians frequently face the challenge of estimation and inference when only a small sample of the relevant data is available. We illustrate solutions to the challenges through a case study analysis of the Uselding and Juba (1973) data. They have only seven observations available to estimate of the bias of technical progress in United States manufacturing in the nineteenth century. They are able to offer estimates of the bias only by assuming that production technology is not Cobb-Douglas, technical progress is non-neutral and that elasticity of substitution between labour and capital is less than 0.9. These assumptions could not be tested owing to the paucity of the required historical data. This case study illustrates the use of both additional theoretical information and appropriate statistical techniques to alleviate problems of estimation and inference with small samples.
Open Access
The friday the thirteenth effect in stock prices: international evidence using panel data
(Te Herenga Waka—Victoria University of Wellington, 2011) Keef, Stephen P; Khaled, Mohammed S
This examination of the Friday the 13th effect, in 62 international stock indices for the period 2000 to 2008, characterises the degree that the effect is influenced by: (i) the GDP of the economy and (ii) the sign of the return on the prior day. These effects are assessed by the use of an EGLS panel regression model incorporating panel corrected standard errors. The turn of the month effect on Fridays is also examined. Three important results relating to the Friday the 13th effect are observed. First, the depressed Friday the 13th effect is present when the return on the prior day is negative. Second, when the return on the prior day is positive, the depressed Friday the 13th effect is absent. Third, the depressed Friday the 13th effect is independent of the GDP of the country when the returns on control Fridays are used as the yardstick.
Open Access
Miller's (2009) WACC model: An extension
(Te Herenga Waka—Victoria University of Wellington, 2011) Keef, Stephen P; Khaled, Mohammed S; Roush, Melvin L
Miller (2009a) presents an analysis of the weighted average cost of capital WACC model. The paper attracts debate which uses a variety of repayment schedules to support the arguments raised. We present an extension of Miller's (2009a) WACC model in a world where interest is tax deductible and debt principal is paid at maturity. We also present the corresponding model for the required rate of return on levered equity which is a vital input to the WACC model. Since these models are unwieldy, we explore an alternative definition of the WACC. These models provide insights into the debate on Miller's (2009a) paper.
Open Access
A note resolving the debate on “The weighted average cost of capital is not quite right”
(Te Herenga Waka—Victoria University of Wellington, 2011) Keef, Stephen P; Khaled, Mohammed S; Roush, Melvin L
Miller (2009a) derives a weighted average cost of capital for the special case where the cash flows to equity and the cashflows to debt are annuities. The paper attracts debate. We show that the weighted average cost of capital is redundant in a world where interest paid is not tax deductible. The required rate of return on unlevered equity will consistently and reliably estimate the net present value of any project no matter the idiocyncratic beliefs of the analyst as to the year-by-year leverage of the project, or of the firm. We recommend that the weighted average cost of capital method is discarded. Our recommendation also applies to a world where interest paid is tax deductible.
Open Access
Plotting labour force status shares: Interdependence and ternary plots
(Te Herenga Waka—Victoria University of Wellington, 2017) Jackson, L. Fraser; Khaled, Mohammed S
Data on the proportions in each of the labour force status categories sum to one and form a composition which can be displayed with a ternary diagram. However the points lie in a small region and need to be scaled or transformed if ternary diagrams are to be a useful tool. This paper uses both scaling and transformation to study labour force status. The simple graphic illustration of patterns of movement over time emphasizes the multivariate character of the data and the changing interaction of employment, unemployment and non market work. It shows the importance of heterogeneity in the population and raises many issues about the relative magnitude of different sources of variation.
Open Access
Tests for weak form market efficiency in stock prices: Monte Carlo evidence
(Te Herenga Waka—Victoria University of Wellington, 2011) Khaled, Mohammed S; Keef, Stephen P
Efficiency in financial markets is tested by applying variance ratio (VR)tests, but unit root tests are also used by many, sometimes in addition to the VR tests. There is a lack of clarity in the literature about the implication of these test results when they seem to disagree. We distinguish between two different types of predictability, called "structural predictability" and "error predictability". Standard unit root tests pick up structural predictability. VR tests pick up both structural and error predictability.