Akhtar R. Siddique

Office of the Comptroller of the Currency - Enterprise Risk Analysis Division

400 7th Ave

Washington, DC 20219

United States

SCHOLARLY PAPERS

16

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CITATIONS
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134

Scholarly Papers (16)

1.

Why are Stock Buyback Announcements Good News?

AFA 2005 Philadelphia Meetings Paper
Number of pages: 48 Posted: 13 Jan 2005
Allan Eberhart and Akhtar R. Siddique
Georgetown University and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division
Downloads 1,111 (12,282)
Citation 4

Abstract:

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 - Enterprise Risk Analysis Division and Duke University - Fuqua School of Business
Downloads 753 (22,757)
Citation 102

Abstract:

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 - Enterprise Risk Analysis Division and Duke University - Fuqua School of Business
Downloads 444 (49,178)
Citation 15

Abstract:

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

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, SMU - Cox School and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division
Downloads 174 (141,746)
Citation 13

Abstract:

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, SMU - Cox School and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division
Downloads 127 (185,161)
Citation 13

Abstract:

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

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) - Sloan School of Management and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division
Downloads 144 (167,349)

Abstract:

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
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) - Sloan School of Management and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division
Downloads 19 (461,907)

Abstract:

6.

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 - Enterprise Risk Analysis Division
Downloads 132 (169,866)

Abstract:

Foreign Exchange, Predictability, Market Efficiency

7.

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 - Enterprise Risk Analysis Division
Downloads 39 (324,523)

Abstract:

Asset Pricing, GMM, Learning, Size Effect

8.

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 - Enterprise Risk Analysis Division
Downloads 26 (362,317)

Abstract:

Credit ratings, issuer bias, default risk, financing constraints

9.

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 - Enterprise Risk Analysis Division
Downloads 0 (420,365)

Abstract:

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

10.

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, SMU - Cox School and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division

Abstract:

R&D, market efficiency, operating performance

11.

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

Journal of Finance, Vol. 59, No. 2, pp. 623-650
Posted: 01 Aug 2004
Allan Eberhart, William F. Maxwell and Akhtar R. Siddique
Georgetown University, SMU - Cox School and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division

Abstract:

R&D, market efficiency

12.

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

Finance Letters, Vol. 1, No. 1, 2003
Posted: 06 Jun 2003
Allan Eberhart and Akhtar R. Siddique
Georgetown University and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division

Abstract:

Mergers and Acquisitions, Operating Performance, Corporate Finance

13.

Common Asset Pricing Factors in Volatilities and Returns in Futures Markets

Journal of Banking and Finance, Forthcoming
Posted: 25 Jul 2002
Akhtar R. Siddique
Office of the Comptroller of the Currency - Enterprise Risk Analysis Division

Abstract:

Asset Pricing, Futures, Volatility

14.

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

Forthcoming in Review of Financial Studies
Posted: 07 Feb 2002
Allan Eberhart and Akhtar R. Siddique
Georgetown University and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division

Abstract:

Seasoned Equity Offering, Bonds, Market Efficiency, Wealth Transfer

15.

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

Posted: 25 Sep 1999
Akhtar R. Siddique
Office of the Comptroller of the Currency - Enterprise Risk Analysis Division

Abstract:

16.

Nonlinear Dynamics of Conditional Term Premia and Business Cycles

Posted: 07 Sep 1999
Akhtar R. Siddique
Office of the Comptroller of the Currency - Enterprise Risk Analysis Division

Abstract: