Akhtar R. Siddique

Government of the United States of America - Office of the Comptroller of the Currency (OCC)

400 7th Street SW

Washington, DC 20219

United States

SCHOLARLY PAPERS

24

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6,504

SSRN CITATIONS
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Top 3,415

in Total Papers Citations

443

CROSSREF CITATIONS

59

Scholarly Papers (24)

1.

Why are Stock Buyback Announcements Good News?

Number of pages: 48 Posted: 13 Jan 2005
Allan Eberhart and Akhtar R. Siddique
Georgetown University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 1,755 (17,954)
Citation 6

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Stock Buybacks, Corporate Finance, Market Efficiency

2.

Autoregressive Conditional Skewness

Fuqua School of Business Working Paper No. 9604
Number of pages: 34 Posted: 08 May 2000
Akhtar R. Siddique and Campbell R. Harvey
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Duke University - Fuqua School of Business
Downloads 980 (42,338)
Citation 41

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Time-varying skewness, GARCH, non-central t-distribution, leverage effect

3.

Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence

Number of pages: 14 Posted: 05 May 2022 Last Revised: 24 Aug 2022
Campbell R. Harvey and Akhtar R. Siddique
Duke University - Fuqua School of Business and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 634 (75,725)

Abstract:

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Skewness, downside risk, replication, Markowitz, Sharpe ratio, P-hacking, Risk premium

4.

Time-Varying Conditional Skewness and the Market Risk Premium

Number of pages: 34 Posted: 09 Sep 2005
Akhtar R. Siddique and Campbell R. Harvey
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Duke University - Fuqua School of Business
Downloads 588 (83,178)
Citation 11

Abstract:

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Risk premium, reward to risk, volatility, skewness, risk premium puzzle, reward for skewness

5.
Downloads 417 (126,234)
Citation 32

Risk and Risk Management in the Credit Card Industry

Number of pages: 62 Posted: 16 Jun 2015 Last Revised: 24 Aug 2022
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Government of the United States of America - Office of the Comptroller of the Currency (OCC), Rensselaer Polytechnic Institute (RPI), Washington University in St. Louis, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 342 (156,240)
Citation 12

Abstract:

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credit risk, consumer finance, credit cards, risk management, machine learning, big data

Risk and Risk Management in the Credit Card Industry

NBER Working Paper No. w21305
Number of pages: 66 Posted: 29 Jun 2015 Last Revised: 20 Mar 2022
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Government of the United States of America - Office of the Comptroller of the Currency (OCC), Rensselaer Polytechnic Institute (RPI), Washington University in St. Louis, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 75 (565,507)
Citation 17

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A Reexamination of the Tradeoff Between the Future Benefit and Riskiness of R&D Increases

Journal of Accounting Research, Forthcoming
Number of pages: 32 Posted: 10 Aug 2007
Allan Eberhart, William F. Maxwell and Akhtar R. Siddique
Georgetown University, Southern Methodist University (SMU) - Finance Department and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 210 (256,318)
Citation 4

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R&D Benefits and Detriments, Bonds, Agency Conflicts, Option Pricing

A Reexamination of the Tradeoff between the Future Benefit and Riskiness of R&D Increases

Number of pages: 32 Posted: 28 Jun 2007
Allan Eberhart, William F. Maxwell and Akhtar R. Siddique
Georgetown University, Southern Methodist University (SMU) - Finance Department and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 181 (293,576)
Citation 1

Abstract:

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R&D Benefits and Detriments, Bonds, Agency Conflicts, Option Pricing

7.

Fed Put in the Equity Options Markets

Number of pages: 89 Posted: 28 Jun 2017 Last Revised: 24 Aug 2022
Sandeep Dahiya, Bardia Kamrad, Valerio Potì and Akhtar R. Siddique
Georgetown University - Department of Finance, Georgetown University - McDonough School of Business, University College Dublin and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 376 (141,898)
Citation 1

Abstract:

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Fed Funds Rate, Implied Volatility, Volatility Skew Surface, Greenspan Put.

8.

Conditional Skewness in Asset Pricing Tests

Number of pages: 42 Posted: 05 Jun 2017
Campbell R. Harvey and Akhtar R. Siddique
Duke University - Fuqua School of Business and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 330 (163,549)
Citation 149

Abstract:

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CAPM, Skewness, Downside Risk, Tail Risk, Momentum, Non-Normality, Markowitz, Efficient Frontier, 3 Factor Model, Risk Premia, Time-Varying Risk

9.

Usefulness of Hard Information and Soft Information: Case of Default Risk and ESG Factors

Number of pages: 46 Posted: 08 Feb 2022
Iftekhar Hasan, David K. Lynch and Akhtar R. Siddique
Fordham University, Board of Governors of the Federal Reserve System and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 317 (170,784)
Citation 1

Abstract:

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ESG factors, Corporate governance, corporate default risk, machine learning

10.

What Drives Currency Predictability?

Number of pages: 52 Posted: 08 Oct 2012 Last Revised: 24 Aug 2022
Valerio Potì and Akhtar R. Siddique
University College Dublin and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 178 (298,265)
Citation 1

Abstract:

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Foreign Exchange, Predictability, Market Efficiency

11.

Pricing Model Complexity: The Case for Volatility-Managed Portfolios

Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices (2023). Edited by A. Capponi and C.A. Lehalle. Cambridge University Press.
Number of pages: 26 Posted: 19 Dec 2022 Last Revised: 02 Mar 2023
Brian J. Clark, Akhtar R. Siddique and Majeed Simaan
Rensselaer Polytechnic Institute (RPI), Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Stevens Institute of Technology - School of Business
Downloads 140 (364,440)

Abstract:

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Portfolio Allocation, Risk-Return-Complexity Frontier, XAI

12.

Fed Put in the Equity Options Markets

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 22-11
Number of pages: 91 Posted: 01 Sep 2022 Last Revised: 06 Dec 2022
Sandeep Dahiya, Bardia Kamrad, Valerio Potì and Akhtar R. Siddique
Georgetown University, Georgetown University, University College Dublin and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 131 (383,554)

Abstract:

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Fed Funds Rate, Implied Volatility, Volatility Skew Surface, Greenspan Put

13.

GMM-Based Tests of Efficient Market Learning and an Application to Testing for a Small Firm Effect in Equity Pricing

Number of pages: 38 Posted: 06 Feb 2013 Last Revised: 24 Aug 2022
Valerio Potì and Akhtar R. Siddique
University College Dublin and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 81 (534,129)

Abstract:

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Asset Pricing, GMM, Learning, Size Effect

14.

The Conservative Issuer Bias of Corporate Ratings

Number of pages: 45 Posted: 04 May 2014
Mohammad Nazmul Hasan, Nikunj Kapadia and Akhtar R. Siddique
Office of the Comptroller of the Currency - Risk Analysis Division, University of Massachusetts Amherst - Department of Finance and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 71 (575,566)

Abstract:

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Credit ratings, issuer bias, default risk, financing constraints

15.

Stablecoins: Funding and Market Liquidity

Number of pages: 26 Posted: 20 Sep 2023 Last Revised: 22 Sep 2023
Akhtar R. Siddique, Valerio Potì, Akanksha Jalan and Roman Matkovskyy
Government of the United States of America - Office of the Comptroller of the Currency (OCC), University College Dublin, ESC Rennes School of Business and Rennes School of Business
Downloads 65 (617,510)

Abstract:

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Stablecoins, fintech, financial crises, crypto-assets, funding liquidity, market liquidity

16.

Board Diversity and Bank Performance

Number of pages: 32 Posted: 01 Nov 2023
Akhtar R. Siddique, Valerio Potì and Alona Bilokha
Government of the United States of America - Office of the Comptroller of the Currency (OCC), University College Dublin and Fordham University
Downloads 48 (694,715)

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Board diversity, ESG ratings, Reputation Risk, Financial Reporting Quality, Bank Performance, Causality, Machine Learning

17.

Issuer Bias in Corporate Ratings Toward Financially Constrained Firms

Journal of Credit Risk, Forthcoming
Number of pages: 35 Posted: 19 Dec 2017
Mohammad Nazmul Hasan, Nikunj Kapadia and Akhtar R. Siddique
Office of the Comptroller of the Currency - Risk Analysis Division, University of Massachusetts Amherst - Department of Finance and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 2 (1,075,892)
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Abstract:

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credit ratings, issuer bias, financial constraints, feedback effect, default risk

18.

Does the Stock Market Underreact to R&D Increases?

Journal of Investment Management, Vol. 4, No. 1, First Quarter 2006
Posted: 22 Apr 2006
Allan Eberhart, William F. Maxwell and Akhtar R. Siddique
Georgetown University, Southern Methodist University (SMU) - Finance Department and Government of the United States of America - Office of the Comptroller of the Currency (OCC)

Abstract:

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R&D, market efficiency, operating performance

19.

An Examination of Long-Term Abnormal Stock Returns and Operating Performance Following R&D Increases

Posted: 01 Aug 2004
Allan Eberhart, William F. Maxwell and Akhtar R. Siddique
Georgetown University, Southern Methodist University (SMU) - Finance Department and Government of the United States of America - Office of the Comptroller of the Currency (OCC)

Abstract:

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R&D, market efficiency

20.

The Measurement of Operating Performance Following Corporate Acquisitions: A Comparison of Event-Time to Calendar-Time Measures

Posted: 06 Jun 2003
Allan Eberhart and Akhtar R. Siddique
Georgetown University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)

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Mergers and Acquisitions, Operating Performance, Corporate Finance

21.

Common Asset Pricing Factors in Volatilities and Returns in Futures Markets

Posted: 25 Jul 2002
Akhtar R. Siddique
Government of the United States of America - Office of the Comptroller of the Currency (OCC)

Abstract:

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Asset Pricing, Futures, Volatility

22.

The Long-Term Performance of Corporate Bonds (and Stocks) Following Seasoned Equity Offerings

Posted: 07 Feb 2002
Allan Eberhart and Akhtar R. Siddique
Georgetown University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)

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Seasoned Equity Offering, Bonds, Market Efficiency, Wealth Transfer

23.

What Volatilities Do Options Imply: Intraperiod or Close- To-Close?

Posted: 25 Sep 1999
Akhtar R. Siddique
Government of the United States of America - Office of the Comptroller of the Currency (OCC)

Abstract:

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24.

Nonlinear Dynamics of Conditional Term Premia and Business Cycles

Posted: 07 Sep 1999
Akhtar R. Siddique
Government of the United States of America - Office of the Comptroller of the Currency (OCC)

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