Rakesh Bharati
Southern Illinois University Edwardsville
FinanceFinancial economicsRisk premiumEconomicsCapital asset pricing model
What is this?
Publications 12
#1Rakesh BharatiH-Index: 4
#2Susan CrainH-Index: 1
view all 3 authors...
The purpose of this paper is to examine whether the investor reaction to 10-K filings has changed since the implementation of Regulation Full Disclosure (FD) and the Sarbanes–Oxley Act (SOX) and examine whether the market still underreacts to 10-K content and exhibits the continuation of filing day returns (FDRs) documented by You and Zhang (2009) after the passage of these regulations.,The sample consists of 39,270 10-K filings over the sample period of 1996 to 2012. Performance of portfolios c...
#1Rakesh Bharati (SIUE: Southern Illinois University Edwardsville)H-Index: 4
#2Jingyi Jia (SIUE: Southern Illinois University Edwardsville)H-Index: 6
Abstract Previous executive compensation studies find that firm risk increases in the risk-taking incentive (vega) of CEOs’ compensation packages. However, the standard methodology of two-stage least squares (2SLS) regression can suffer from invalid instruments. Using a dynamic panel generalized method of moments (GMM) specification to control for dynamic endogeneity, unobserved heterogeneity, and simultaneity ( Wintoki, Linck, & Netter, 2012 ), we find no evidence of a positive relationship bet...
1 CitationsSource
#1Rakesh Bharati (SIUE: Southern Illinois University Edwardsville)H-Index: 4
#2Thomas William Doellman (SLU: Saint Louis University)H-Index: 2
Last. Xudong Fu (SIUE: Southern Illinois University Edwardsville)H-Index: 5
view all 3 authors...
Consistent with the theoretical predictions of Goel and Thakor (2008), we find that overconfident CEOs create significant value for the firm through superior stock return performance and take more risk, compared to their non-overconfident counterparts. We also differentiate between innovative and non-innovative industries and find for each subsample that overconfident CEOs create firm value. We find these results even when we control for founder CEOs as they add value and make similar corporate ...
2 CitationsSource
#1Rakesh Bharati (SIUE: Southern Illinois University Edwardsville)H-Index: 4
#2Susan J. Crain (MSU: Missouri State University)H-Index: 4
Last. Vincent Kaminski (Rice University)H-Index: 2
view all 3 authors...
This paper studies the target pricing zone (TPZ) hypothesis for crude oil by examining price clustering in the dollar digit. It is hypothesized that price clustering occurs within an established TPZ if OPEC is able to defend the upper and lower bounds through output changes. The results show that prices strongly cluster around the dollar digit value of 9 within the TPZ sub-periods, but not outside the sub-periods. Furthermore, the degree of clustering declines when production capacity utilizatio...
10 CitationsSource
Introduction After events have occurred, stock returns show a decisive pattern of continuation in semi-annual and annual holding periods while there is evidence of reversal over three to five years. (1) Over a weekly horizon, Lehmann (1990) demonstrates contrarian profits, but subsequent studies attribute his profits to cross-autocorrelation in large and small stocks and bid-ask bounce [e.g., Lo and MacKinlay (1990); Conrad, Gultekin, and Kaul (1997)]. Conditioning on volume, Campbell, Grossman ...
3 Citations
#1Rakesh Bharati (SIUE: Southern Illinois University Edwardsville)H-Index: 4
#2Prasad NanisettyH-Index: 3
Last. Jacky So (College of Business Administration)H-Index: 2
view all 3 authors...
Abstract We study the sensitivity of bank stock returns to interest rates, by extending existing tests in two important directions. We incorporate dynamic gap adjustments and extend the traditional duration gap measure to new gap measures based on the general equilibrium term structure model developed by Longstaff and Schwartz [Longstaff, F. A., & Schwartz, E. S. (1992). Interest-rate volatility and the term structure: A two-factor general equilibrium model. Journal of Finance, 47 (4), 1259–1282...
4 CitationsSource
#1Jacky C. So (Pepperdine University)H-Index: 1
#2Rakesh Bharati (SIUE: Southern Illinois University Edwardsville)H-Index: 4
Last. Susan Crain (SIUE: Southern Illinois University Edwardsville)H-Index: 1
view all 3 authors...
We examine the relationship between the small business loan guarantee and the agency problem of small firms. We then recommend financial instruments or financial contracts that can minimize of eliminate the moral hazard problem.
1 Citations
#1Vijay S. DesaiH-Index: 6
#2Rakesh Bharati (SIUE: Southern Illinois University Edwardsville)H-Index: 4
This paper uses two recently developed tests to identify neglected nonlinearity in the relationship between excess returns on four asset classes and several economic and financial variables. Having found some evidence of possible nonlinearity, it was then investigated whether the predictive power of these variables could be enhanced by using neural network models instead of linear regression or GARCH models. Some evidence of nonlinearity in the relationships between the explanatory variables and...
46 CitationsSource
#1Vijay S. DesaiH-Index: 6
#2Rakesh Bharati (SIU: Southern Illinois University Carbondale)H-Index: 1
Recent studies have shown that there is predictable variation in returns of financial assets over time. We investigate whether the predictive power of the economic and financial variables employed in the above studies can be enhanced if the statistical method of linear regression is replaced by feedforward neural networks with backpropagation of error. A shortcoming of backpropagation networks is that too many free parameters allow the neural network to fit the training data arbitrarily closely ...
30 CitationsSource
In this article we examine an intertemporal capital asset pricing model (CAPM) that allows for time-varying conditional covariances that are assumed to follow a multivariate integrated generalized autoregressive conditional heteroscedastic (IGARCH) process. The resulting pricing equation includes idiosyncratic risk premia in addition to the usual market beta. Empirical analysis based on ten size and ten industry portfolios reveals significant idiosyncratic premia for most portfolios. Overall, we...
1 CitationsSource