Akhtar R. Siddique

Office of the Comptroller of the Currency

400 7th Ave

Washington, DC 20219

United States

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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Top 4,631

in Total Papers Citations

231

CROSSREF CITATIONS

59

Scholarly Papers (21)

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 Office of the Comptroller of the Currency
Downloads 1,589 (16,220)
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
Office of the Comptroller of the Currency and Duke University - Fuqua School of Business
Downloads 931 (35,526)
Citation 24

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

3.

Time-Varying Conditional Skewness and the Market Risk Premium

Number of pages: 34 Posted: 09 Sep 2005
Akhtar R. Siddique and Campbell R. Harvey
Office of the Comptroller of the Currency and Duke University - Fuqua School of Business
Downloads 540 (72,836)
Citation 6

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

4.
Downloads 345 (122,845)
Citation 20

Risk and Risk Management in the Credit Card Industry

Number of pages: 62 Posted: 16 Jun 2015 Last Revised: 14 Jun 2016
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 Office of the Comptroller of the Currency
Downloads 297 (143,203)
Citation 2

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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 Office of the Comptroller of the Currency
Downloads 48 (542,947)
Citation 15

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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 Office of the Comptroller of the Currency
Downloads 190 (221,136)
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 Office of the Comptroller of the Currency
Downloads 155 (263,468)
Citation 1

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

6.

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

Number of pages: 14 Posted: 05 May 2022 Last Revised: 16 May 2022
Campbell R. Harvey and Akhtar R. Siddique
Duke University - Fuqua School of Business and Office of the Comptroller of the Currency
Downloads 327 (130,208)

Abstract:

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

7.

Fed Put in the Equity Options Markets

Number of pages: 89 Posted: 28 Jun 2017 Last Revised: 24 Mar 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 Office of the Comptroller of the Currency
Downloads 309 (138,133)
Citation 1

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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 Office of the Comptroller of the Currency
Downloads 242 (176,650)
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.

What Drives Currency Predictability?

Number of pages: 52 Posted: 08 Oct 2012 Last Revised: 01 Apr 2013
Valerio Potì and Akhtar R. Siddique
University College Dublin and Office of the Comptroller of the Currency
Downloads 163 (252,063)

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Foreign Exchange, Predictability, Market Efficiency

10.

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 Office of the Comptroller of the Currency
Downloads 109 (341,980)

Abstract:

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

11.

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: 15 Dec 2013
Valerio Potì and Akhtar R. Siddique
University College Dublin and Office of the Comptroller of the Currency
Downloads 68 (453,665)

Abstract:

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Asset Pricing, GMM, Learning, Size Effect

12.

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 Office of the Comptroller of the Currency
Downloads 51 (519,712)

Abstract:

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Credit ratings, issuer bias, default risk, financing constraints

13.

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 Office of the Comptroller of the Currency
Downloads 2 (875,112)
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credit ratings, issuer bias, financial constraints, feedback effect, default risk

14.

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 Office of the Comptroller of the Currency

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R&D, market efficiency, operating performance

15.

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 Office of the Comptroller of the Currency

Abstract:

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R&D, market efficiency

16.

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 Office of the Comptroller of the Currency

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Mergers and Acquisitions, Operating Performance, Corporate Finance

17.

Common Asset Pricing Factors in Volatilities and Returns in Futures Markets

Posted: 25 Jul 2002
Akhtar R. Siddique
Office of the Comptroller of the Currency

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Asset Pricing, Futures, Volatility

18.

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 Office of the Comptroller of the Currency

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Seasoned Equity Offering, Bonds, Market Efficiency, Wealth Transfer

19.

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

Posted: 25 Sep 1999
Akhtar R. Siddique
Office of the Comptroller of the Currency

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20.

Nonlinear Dynamics of Conditional Term Premia and Business Cycles

Posted: 07 Sep 1999
Akhtar R. Siddique
Office of the Comptroller of the Currency

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21.

Fed Put in the Equity Options Markets

Number of pages: 90
Akhtar R. Siddique, Sandeep Dahiya, Bardia Kamrad and Valerio Potì
Office of the Comptroller of the Currency, Georgetown University, Georgetown University and University College Dublin
Downloads 0

Abstract:

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