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Browsing by Author "Clark, Charles A."

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    Determining the efficiency of the GNMA mortgage-backed securities market
    Clark, Charles A. (Virginia Tech, 1994-09-15)
    This paper is an evaluation of the efficiency of the Government National Mortgage Association (GNMA) mortgage-backed securities market. GNMA securities represent a $702 billion market. Despite this size, the securities do not trade on an organized exchange. Trading on an organized exchange implies that a maximum amount of available information is incorporated into prices. Consequently, can the GNMA market be efficient? An efficient market, as posited by Eugene Fama and others, is one where all of the information available in a market is incorporated in the prices in that market. There are various levels of efficiency ranging from the use of all publicly available information to the use of that information plus information not generally available (i.e. proprietary and "insider" information".) This paper considers the more general case of information available in period t not being used in that period but rather being incorporated in the prices of period t+n. The analysis uses monte carlo simulation to generate paths of discount rates based on the yield curve for U.S. Treasury securities. These periodic rates along with a common spread are used to discount the estimated cash flows on the GNMA securities. The common spread is termed the Option Adjusted Spread ("OAS") and is postulated to incorporate all of the market information over and above that is used in setting prices (and their corollary, yields) in the Treasury market. The test of market efficiency is whether or not the prices in period t are correlated with the OAS of a subsequent period.
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    Impacts of COVID-19 on U.S. aquaculture, aquaponics, and allied businesses: Quarter 2 Results
    van Senten, Jonathan; Smith, Matthew A.; Engle, Carole R.; Clark, Charles A.; Schwarz, Michael H. (Virginia Cooperative Extension, 2020-08-05)
    In response to the coronavirus (COVID-19) disease pandemic, a collaborative initiative was launched byThe Ohio State University, Virginia Tech, and Engle-Stone Aquatic$, LLC to assess the impacts ofthe pandemic on U.S. aquaculture, aquaponics, and allied industry. Results from the first quarter survey(AAEC-218NP) demonstrated that the U.S. aquaculture industry has been impacted by the coronavirus (COVID-19) disease pandemic; with 90% of respondents reporting that their farm or business had been affected by the pandemic in some way. Marketing channels, challenges with labor, and challenges with production. Over the course of the first quarter of 2020, the U.S. government developed and implemented several emergency relief measures, in an effort to assist small businesses and individuals. The Q2 survey asked specifically about these relief and assistance programs, as well as questions on adaptations and changes being implemented by farms and businesses in response to the ongoing challenges. This fact sheet summarizes the Q2 results of this study, covering the period from April 10th to June 29th, 2020