Akhtar R. Siddique

Government of the United States of America - Risk Analysis Division

400 7th Ave

Washington, DC 20219

United States

SCHOLARLY PAPERS

18

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4,275

SSRN CITATIONS
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Top 5,016

in Total Papers Citations

209

CROSSREF CITATIONS

59

Scholarly Papers (18)

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 - Risk Analysis Division
Downloads 1,534 (14,361)
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 - Risk Analysis Division and Duke University - Fuqua School of Business
Downloads 898 (31,938)
Citation 23

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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
Government of the United States of America - Risk Analysis Division and Duke University - Fuqua School of Business
Downloads 519 (65,803)
Citation 4

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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, Southern Methodist University (SMU) - Finance Department and Government of the United States of America - Risk Analysis Division
Downloads 189 (194,560)
Citation 2

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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 - Risk Analysis Division
Downloads 152 (235,011)
Citation 1

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

5.
Downloads 298 (124,914)
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 Government of the United States of America - Risk Analysis Division
Downloads 265 (140,447)
Citation 2

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 2021
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 - Risk Analysis Division
Downloads 33 (556,039)
Citation 15

Abstract:

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6.

The Greenspan Put

Number of pages: 105 Posted: 28 Jun 2017 Last Revised: 11 Jun 2021
Sandeep Dahiya, Bardia Kamrad, Valerio Potì and Akhtar R. Siddique
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business, University College Dublin and Government of the United States of America - Risk Analysis Division
Downloads 227 (164,156)
Citation 1

Abstract:

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

7.

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 - Risk Analysis Division
Downloads 187 (196,473)
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

8.

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 Government of the United States of America - Risk Analysis Division
Downloads 157 (228,313)

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Foreign Exchange, Predictability, Market Efficiency

9.

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 Government of the United States of America - Risk Analysis Division
Downloads 63 (417,665)

Abstract:

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Asset Pricing, GMM, Learning, Size Effect

10.

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 - Risk Analysis Division
Downloads 49 (468,970)

Abstract:

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Credit ratings, issuer bias, default risk, financing constraints

11.

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 - Risk Analysis Division
Downloads 2 (759,972)
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Abstract:

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

12.

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 - Risk Analysis Division

Abstract:

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R&D, market efficiency, operating performance

13.

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 - Risk Analysis Division

Abstract:

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R&D, market efficiency

14.

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 - Risk Analysis Division

Abstract:

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Mergers and Acquisitions, Operating Performance, Corporate Finance

15.

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 - Risk Analysis Division

Abstract:

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Asset Pricing, Futures, Volatility

16.

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 - Risk Analysis Division

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Seasoned Equity Offering, Bonds, Market Efficiency, Wealth Transfer

17.

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

Posted: 25 Sep 1999
Akhtar R. Siddique
Government of the United States of America - Risk Analysis Division

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18.

Nonlinear Dynamics of Conditional Term Premia and Business Cycles

Posted: 07 Sep 1999
Akhtar R. Siddique
Government of the United States of America - Risk Analysis Division

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