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Four voting seats at FOMC meetings rotate between twelve Reserve Bank presidents on a yearly basis. Using detailed data on 488 FOMC meetings that took place between 1969 and 2021 and predetermined rotations of voting rights we show that local economic conditions in Reserve Bank presidents’ districts affect Federal funds target rates only when presidents hold voting seats at FOMC meetings. Federal funds futures reflect this effect of local economic conditions on FOMC decisions. Supporting the voting mechanism we show that voting presidents dissent based on local economic conditions in their districts. Reserve Bank presidents’ districts are more likely to be mentioned in FOMC transcripts than are districts of non-voting presidents.
Vyacheslav Fos Nancy R. Xu
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4230206
0
4
0
0
2022/09/26
2022/09/26
2022/09/26
65
Federal Reserve System monetary policy FOMC voting rights Reserve Bank presidents
E52 E58 D7 G1
0
0
0
Financial
A Structural Study of Fixed Income Securities with Intraday Data
Open
Fixed income (FI) securities are substantially more complex than equities and have as a result received far less attention in financial econometrics than equities. I use two different metrics with three different announcement windows for each based on event studies with intraday fixed income securities and equity data on all publicly traded U.S. companies over 2014-2021 as separate objective and systematic measures of the efficiency of the market for a FI security. Based on market microstructure models of Kyle and Obizhaeva (2016) and Bhattacharya (2019) I develop a seven-equation structural model with market efficiency as a function of exogenous factors and endogenous market activities and each endogenous market activity as a function of the exogenous factors and all other endogenous market activities. I apply Three Stage Least Squares and Errors in Variables to estimate the structural system and test the corresponding hypotheses using panel-based instrumentation strategies for endoge
Rajeev R. Bhattacharya
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4230300
0
3
0
0
2022/09/26
2022/09/26
2022/09/26
35
Fixed Income Securities; Market Efficiency; Intraday Data Event Studies; Earnings Announcements; Key Developments; Endogeneity; Simultaneity; Missing/Unavailable Data; Proxy Variables; Instrumental Variables.
G14; G12; C58; C33; C36.
0
0
0
Financial
Why Women Earn Lower Real Estate Returns
Open
Using repeat-sales data on apartments in Sweden we estimate the gender gap in housingreturns. We confirm that single women’s returns gross of renovations are lower than single men’s by more than 2% that half of this gap is due to market timing and that the gendergap is concentrated in short holding period. Adding administrative data on renovationexpenses and traders’ background we find that women are much less likely to specialize inreal estate professional activities and undertake renovations. Professional transactions haveshort holding periods and account for 25% of all transactions even though they representonly 10% of the housing stock. Among sellers who are not real estate professionals thegender gap shrinks to 0.3% and it fully disappears once renovations are accounted for.We find no evidence supporting the alternative explanation that women are unwilling tobargain hard for housing.
Anastasia Girshina Laurent Bach Paolo Sodini
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4230268
1
1
0
0
2022/09/26
34
Gender gap real estate returns
G5 G11
0
0
0
Financial
Influencer Detection meets Network AutoRegression – Influential Regions in the Bitcoin Blockchain
Open
Known as an active global virtual money network Bitcoin blockchain with millions of accounts has played an ever-growing important role in fund transition digital payment and hedging. We propose a method to Detect Influencers in Network AutoRegressive models (DINAR) via sparse-group regularization to detect regions influencing others cross-border. For a granular analysis we analyze if the transaction record size plays a role for the dynamics of the cross-border transactions in the network. With two-layer sparsity DINAR enables discovering 1) the active regions with influential impact on the global digital money network and 2) if changes in the transaction record size impact the dynamic evolution of Bitcoin transactions. We illustrate the finite sample performance of DINAR along with intensive simulation studies and investigate its asymptotic properties. In the real data analysis on Bitcoin blockchain from Feb 2012 to December 2021 we found that in the earlier years (2012-2016) network e
Simon Trimborn Hanqiu Peng Ying Chen
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4230241
0
1
0
0
2022/09/26
2022/09/26
2022/09/26
75
Bitcoin Blockchain Network Dynamics Two-Layer sparsity
C55 C58 C60 G17
0
0
0
Financial
The Passive-Ownership Share Is Double What You Think It Is
Open
Passive investors held 37.8% of the US stock market in 2020. This estimate comes from studying the closing volumes of index additions and deletions on reconstitution days. It reflects the holdings of both index funds and direct indexers. However the previous estimate 15% assumed all passive investing was done via index funds. Existing models for rising passive ownership are calibrated to this previous estimate and give no hint it is 50% too small which limits how useful these models are to policymakers. Direct indexing also helps empirical researchers make sense of recent market trends like the growth in buybacks.
Alex Chinco Marco Sammon
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4230245
0
0
0
0
2022/09/10
2022/09/26
2022/09/26
48
Passive ownership Index funds Reconstitution day Pre-positioned trades Information-based asset-pricing models
G11 G14 G23
0
0
0
Financial
Examining Qes Bang for the Buck: Does Quantitative Easing Reduce Credit and Liquidity Risks and Stimulate Real Economic Activity?
Open
This paper investigates the ECB’s Corporate Sector Purchase Programme’s (CSPP) impact on European corporate bonds’ credit and liquidity risks and real economic activity. The results show that the CSPP’s announcement (“stock effect”) lowered the credit spread of eligible corporate bonds measured by the G-spread by ten basis points (bps) or 9.8%. The liquidity of eligible bonds also improved as their scaled bid-ask spread decreased by 2.6 bps or 4.6%. Moreover for every 1 billion euros of ECB corporate bond monthly purchases (“flow effect”) the scaled bid-ask spread of eligible bonds declined by 0.6 bp from June 2016 to December 2018. As for economic activity QE’s stock effect raised corporate debt – mainly for German firms – and the stock and flow effects stimulated dividend spending especially for German and French firms. These results indicate that QE initially improved corporate bond operations and encouraged borrowing. Moreover the CSPP continued to boost the liquidity of corporate
Lior Cohen
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4230204
0
0
0
0
2022/06/13
2022/09/26
2022/06/04
39
quantitative easing (QE)corporate bonds CSPP corporate credit risk liquidity risk
E52E58E22G12G01
0
0
0
Financial
Econometrics Analysis of Impact of International Trade on Economic Growth in Rwanda an (1990-2017)
Open
Background: International trade is so much essential for economic growth not only in Rwanda but also worldwide because this world become a village due to globalization where one country’s people can easily buy or sell products to another country. Objectives: The objective of this study is to examine the impact of international trade on economic growth in Rwanda from 1990-to 2017. Methodology: Descriptive data analysis was used and the variable considered here are: Gross domestic product (GDP) as a proxy for economic growth trade openness (TO) Foreign direct investment (FDI). This study was carried out using the Vector Error Correction Model (VECM) estimation method for data analysis using Econometric software (E-Views 8.0.Secondary data was used to conduct this study and the required data was collected from World Bank. Available literature has shown that international trade contributes to economic growth. Data results: Empirical investigation reveals that both trade openness (TO) and f
Etienne Nzabirinda
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4230240
0
0
0
0
2022/04/06
2022/09/26
2020/03/16
Economic Growth Trade Openness Export Import International Trade VECM
F International Economics
0
0
0
Quantitative
Quantitative Easing Inflation and Federal Reserve Complicity
Open
The recent surge in consumer prices beginning in 2021 has been attributed by government officials to supply chain disruptions war in Ukraine the coronavirus pandemic and corporate greed. Between 2008Q4 and 2021Q1 the consumer price index (CPI) increased 32 percent from about 211 to 280. During this same period the Fed’s balance sheet increased from $2.4 trillion to $8.8 trillion. The analysis presented in this paper indicates that an inflation-asset elasticity of 0.042 accounted for about 35 percent of the increase in consumer prices during this period. Although supply-chain and market disruptions were contributing factors the Fed’s low-interest-rate policy and quantitative easing was a significant driver behind the increase in consumer prices.
Thomas Joseph Webster
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4230214
0
0
0
0
2022/08/05
2022/09/26
2022/07/26
12
Dickey-Fuller unit root test; Engle-Granger cointegration test; Johansen cointegration test quantitative easing CPI.
C12 C32 E31 E41 E43 E52.
0
0
0
Quantitative
Command-Line Cartographic Data Processing for Geophysical Plotting of Rwanda Using GMT and R Scripts
Open
This paper presents a case of the script-based cartographic data processing by the Generic Mapping Tools (GMT) and R language for geophysical mapping. The study area is located in Rwanda Africa which is notable for complex geological setting due to its specific location within the East African Rift. The active continental zone of the East African Rift extending in western Rwanda has importance on seismicity of the country. It affects gravity anomaly and influences the distribution and shape of the geomorphological landforms as reflected in the topography of Rwanda. The aim of this study is to apply the cartographic command-line techniques for mapping. The geophysical goal is to highlight the correlations between the distribution depth and magnitudes of earthquakes topography and geophysics. Visualizing the geophysical anomalies and topography for the morphometric setting of Rwandas terrain supports geological monitoring. The data include the General Bathymetric Chart of the Oceans (GE
Polina Lemenkova
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4230205
1
0
0
2022/09/26
2022/09/26
2022/09/26
Geophysics shell script cartography GMT R language Africa
Y92 Q00 Q01 Q20 Q24 Q25 Q33 Q40 Q42 Q50 Q51 Q54 Q55 C00 C02 C60 C61
0
0
0
Quantitative
Real Consequences of Foreign Exchange Derivatives Hedging
Open
I exploit a quasi-natural experiment in South Korea to examine the real effects of foreign exchange derivatives (FXD) hedging. By using cross-bank variation in the tightness of an FX regulation designed to discourage risk-taking by financial intermediaries I show that the regulation caused a decline in the supply of FXD resulting in a substantial reduction in exports especially for small firms that relied heavily on FXD hedging. I provide a mechanism involving firms’ costly external financing as well as their costly switching of banking relationships and banks’ costly equity financing that explains the empirical findings.
Hyeyoon Jung
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228276
130
1240
0
0
2021/03/04
2022/09/23
2022/09/25
95
Real effects Macroprudential policy International finance Derivatives hedging FX risk management
E44 F31 G15 G28 G32
1
0
0
Financial
Dividend Taxes and Investment Efficiency: Evidence from the 2003 U.S. Personal Taxation Reform
Open
We examine the effect of a large dividend tax cut on corporate investment efficiency by exploiting the 2003 personal taxation reform in the U.S. as a quasi-natural experiment. Using a difference-in-differences approach based on the probability that a firms marginal investor was an individual investor we show that the 2003 dividend tax cut significantly improved the investment efficiency of U.S. listed firms. However we find no evidence that the dividend tax cut increased the level of investment of U.S. listed firms. Further we show that the tax cut increased investment efficiency by mitigating agency problems associated with the excessive free cash flows of overinvesting firms and by relaxing the financial constraints of underinvesting firms.
J.B. (Jong-Bom) Chay Byung-Uk Chong Hyun Joong Im
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228399
135
897
0
1
2020/06/04
2022/09/25
2022/09/25
2022/05/05
53
Dividend Taxation Investment Efficiency Financial Constraints Free Cash Flows
G12 G14 G15 G31
4
0
0
Financial
Market Power in Wholesale Funding: A Structural Perspective from the Triparty Repo Market
Open
I model and structurally estimate the equilibrium rates and volume on the Triparty repo market to study imperfect competition in wholesale funding. Even in this systemically important market where seemingly homogeneous repos trade I document persistent rate differences paid by dealers. I characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that cash-lenders aversion to portfolio concentration and preference for stable lending grant dealers substantial market power: between 2011 and 2017 dealers borrowed at rates that were 21 bps lower than their marginal value of intermediating borrowed funds. Dealers market power makes the observed wholesale repo rate understate the financing rate available to market participants who rely on repo funding and offers a novel explanation for funding spreads such as the Treasury cash-futures basis and the Treasury swap spread.
Amy Huber
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228333
22
82
0
0
2022/05/19
2022/09/25
2022/09/25
2022/09/23
71
Triparty repo market power portfolio allocation funding spreads intermediary asset pricing
G11 G12 G21 G23 L13
1
0
0
Financial
Comprehensive Reassessment of Economic Uncertainty and Corporate Investment
Open
We revisit previous influential studies that show a seemingly robust relationship between economic uncertainty and corporate investment. We conduct analysis with a comprehensive list of 27 distinct uncertainty measures rigorous controls based on 128 variables and consideration of intangible capital investment as well as physical capital investment. We present novel evidence that unlike previous studies S&P 500 option-implied volatility and the Economic Policy Uncertainty (EPU) are not robust while the monetary policy uncertainty measure by Husted et al. (2020) is the most significantly and robustly related to firms investment decisions. The monetary policy uncertainty also has a long-lasting effect on investment for up to 8 quarters.
Kiryoung Lee Yoontae Jeon
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228404
5
41
0
0
2022/09/23
2022/09/25
2022/09/25
2022/09/24
27
Economic uncertainty index Economic Policy Uncertainty Monetary Policy Uncertainty Corporate Investment
D80 E22 E66 G18
0
0
0
Financial
Market Effects of Central Bank Credit Markets Support Programs in Europe
Open
Using responses of credit default swap indexes to ECB monetary policy announcements we isolate a novel credit policy component of monetary policy surprises. We examine how such unconventional monetary policy surprises affect investor perceptions of credit risk and the functioning of primary corporate debt markets. Favorable credit surprises cause declines in uncertainty about credit risk and suggest a more stable outlook on its dynamics over the following months. Both net and gross corporate bond issuance increase as a result of favorable credit surprises with the largest response in investment grade issuance. We argue that this provides evidence for the efficacy of a local channel of unconventional monetary policy.
Yuriy Kitsul Oleg Sokolinskiy Jonathan H. Wright
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228409
0
0
0
0
2022/09/25
37
CDS Central banks Credit derivatives Credit programs Debt issuance Uncertainty
E58 G10
0
0
0
Financial
Quantitative Easing Federal Reserve Complicity and Modern Monetary Theory
Open
This paper analyzes the cause-and-effect relationships between the Fed’s balance sheet and consumer prices and between the federal government debt and the Fed’s balance sheet during the period 2008Q1to 2021Q4. Although contemporaneous Fed purchases of public and private sector debt and increases consumer prices were highly correlated the evidence suggests that excessive government spending was the root cause of the general increase in consumer prices. The Fed’s role during this period appears to have been that of bankrolling federal government deficits and the federal debt. While the Fed could have moderated the general increase in consumer prices by reducing or curtailing quantitative easing and allowing interest rates to rise it chose not to. A possible explanation is the growing popularity of modern monetary theory (MMT) among major central bankers and the multinational monetary elite.
Thomas Joseph Webster
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228291
32
250
0
0
2022/08/19
2022/09/25
2022/09/25
2022/08/13
11
Granger causality inflation quantitative easing vector autoregression modern monetary theory.
B52 C12 C22 E31 E43 E51 E52.
1
0
0
Quantitative
Basel III Credit-to-GDP Gaps and the Origins of Their Unreliability: Introducing Historical Reliability Bands
Open
Basel III credit-to-GDP gaps are used to assess whether aggregate credit is excessive or not and inform macroprudential policymaking. Yet estimates from Basel III’s prescribed detrending procedure are prone to continuous reevaluations that do not reflect changes in the data and exceed commonly discussed end-of-sample biases from converging one- and two-sided filtering procedures. To illustrate the extent of unreliability I introduce historical reliability bands. Based on simulation and empirical evidence for 43 countries I show that estimates do not converge to full sample estimates and each quarter is associated with a new trend history which compromises the comparability of cyclical positions over time. This leads to relevant misalignment in countercyclical buffer decisions in both direction and size and may impair the regulator’s credibility. Alternatively using a two-year difference filter would provide endpoint and historically reliable estimates while yielding distinctly fewer an
Josefine Quast
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228305
26
150
0
0
2022/08/09
2022/09/25
2022/09/25
2022/07/31
56
Countercyclical capital buffers detrending stochastic trends real-time analysis
C10 C32 E32 E44 G01
0
0
0
Quantitative
Using Meta-Learning in Automatic Demand Forecasts with a Large Number of Products
Open
Demand analysis is one of the cornerstones of any supply chain management system and most of the key operational decisions in the supply chain rely on accurate demand predictions. Although there is a large body of academic literature proposing a variety of forecasting methods there are still important challenges when using them in practice. A common problem is that firms need to decide about thousands of products and the patterns of demand could be very different between them. In this setting oftentimes there is no single forecasting method that works well for all products. While some autoregressive models might work well in some cases the demand for other products might require an ad-hoc identification of trend and seasonality components. In this chapter we present a methodology based on meta-learning that automatically analyzes several features of the demand to identify the most suitable method to forecast the demand for each product. We apply the methodology to a large retailer in L
Luis Gutierrez Marcel Goic
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228329
0
1
0
0
2022/07/16
2022/09/25
2022/07/16
22
Forecasting Meta-Learning Time Series Retailing.
C53 L81
0
0
0
Quantitative
Measuring Firm Complexity
Open
In business research firm size is both ubiquitous and readily measured. Complexity another firm-related construct is also relevant but difficult to measure and not well defined. As a result complexity is less frequently incorporated in empirical designs. Firm segment counts or the readability of a firm’s financial filings are often used as proxies for some aspect of complexity. We argue that most extant measures of complexity are one-dimensional have limited availability and/or are frequently misspecified. Using both machine learning and an application specific lexicon we develop a text solution that is based on widely available data and that provides an omnibus measure of complexity. Three dependent variables are used that allow us to compare our measure with popular alternatives and to separate out the potential empirical overlap of size and complexity. Our proposed measure used in tandem with 10 K file size provides a useful proxy that dominates traditional measures.
Tim Loughran Bill McDonald
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228575
0
0
0
0
2020/07/15
2022/09/24
49
Firm complexity; textual analysis; Form 10-K; machine learning; lasso regression.
D82 D83 G14 G18 G30 M40 M41
0
0
0
Financial
The Volcker Rule and the Hedge Fund Liquidity Circle
Open
The implementation of the Volcker Rule (section 619 of the 2010 Dodd-Frank Act)profoundly impacts the funding liquidity of hedge funds their liquidity risk exposureand liquidity provision to the market. Analysing a sample of 5697 hedge funds we find that following the legislation capital flows to hedge funds decline and their flow-performance sensitivity increases. Hedge funds reduce their market liquidity exposure and realign their market-making activities towards the most liquid stocks. These results support the Brunnermeier-Pedersen model of illiquidity spirals.
Michael Bowe Olga Kolokolova Lijie Yu
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228517
0
0
0
0
2019/11/25
2022/09/24
2019/11/13
73
Volcker Rule Hedge funds Liquidity risk Liquidity provision Fund flows
G1 G18 G2 G23 G28
0
0
0
Financial
Subjective Extremeness: Contrast Effects in the Perception of Stock Returns
Open
Stock returns convey information to investors about fundamental values. But do all investors perceive the same stock return in the same way? Using a large dataset of retail investor trading decisions we show that different investors respond differently to the same return and that these differences are driven by the comparison of the return to investors personal return experiences from the small set of stocks they own. The effect is economically large robust to model specification and stronger when investors are more likely to remember their return experiences. Overall our findings suggest that contrast effects create considerable subjectivity in the perception of stock returns.
Constantinos Antoniou Junyang Guo Neil Stewart
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228472
0
0
0
0
2021/02/04
2022/09/24
2021/03/15
61
contrast effects salience stock trading
G11 G02 D14
0
0
0
Financial
Reducing power peaks in railway traffic flow subject to random effects
Open
Railway traffic flow in a corridor can be modeled by a string of consecutive trains each subject to random speed variations that are described by a stochastic process. Despite analogies with car-follower models railways include specific features and a safety system that forces vehicles to decelerate towards a fixed lower speed if an absolute safety distance with the vehicle ahead is not respected. We simulate such a dynamic system under assumptions that model human drivers and automated train operations (ATO) and compute performance measures focusing on energy consumption and the power peaks arising when multiple trains accelerate simultaneously. We investigate measures to smooth these peaks including the use of regenerative braking energy potentially coupled with an electric energy storage and a rule that uses fixed waiting times before re-accelerating. Our findings shed light on when and why these measures can be effective at reducing energy consumption and/or shaving the peaks and s
Alessio Trivella Francesco Corman
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228523
1
2
0
0
2022/09/24
2022/09/24
2022/09/24
23
Railway traffic dynamics stochastic processes traffic flow theory power peaks automated train operations.
C02 C44 C63 L92
0
0
0
Quantitative
Patent Pool Formation as a Social Dilemma
Open
This paper extends the Cournot-Shapiro model to provide a tractable model of voluntary patent pool formation among standard essential patent holders. We assume that patent holders have complementary patents for a standard. We first show that the existence of a path of voluntary patent pool formation heavily depends on demand for patent licenses and that no such path exists in linear demand examples. Next we extend our model to consist of two rival standards that are substitutable and compete `a la Bertrand competition. We show that while a large patent pool benefits both patent holders and licensees it is not provided voluntarily. Our analysis suggests that the presence of a rival standard may facilitate voluntary patent pool formation.
Takaaki Abe Emiko Fukuda Shigeo Muto
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228457
0
1
0
0
2022/09/24
2022/09/24
2022/09/24
31
patent pool patent thicket voluntary formation social dilemma
C71 C72 L41
0
0
0
Quantitative
Does Russian Election Interference Damage Support for U.S. Alliances? The Case of Japan
Open
Scholars and practitioners often argue that the United States identity as a democracy contributes to the effectiveness and endurance of U.S. military alliances. One way to test this claim is to ask: what would happen if citizens of allied countries came to perceive U.S. democracy as severely flawed or diminished? In the context of now well-documented Russian interference in recent U.S. elections we examine whether Russias election interference and its perceived impact on American democracy damage foreign public opinion about the U.S. The results of our survey experiment fielded in Japan suggest that information about successful Russian election interference---i.e. interference that had an impact on the election outcome---reduces foreign citizens faith in the U.S. as an ally. This pattern most clearly manifests in reduced belief in the U.S. capacity to defend Japan. Our study sheds light on the connections between the image of the U.S. both as a trustworthy and effective state and the f
Benjamin E. Goldsmith Yusaku Horiuchi
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228578
0
0
0
0
2020/06/08
2022/09/24
2021/09/24
52
alliance soft power electoral meddling trust Trump Russia Japan
C91 D74 D78 D83
0
0
0
Quantitative
A Probabilistic Solution to High-Dimensional Continuous-Time Macro-Finance Models
Open
This paper demonstrates that the dynamics of a continuous-time macro-finance model can be characterized by the probabilistic solution of a coupled forward-backward stochastic differential equation system. It could overcome the ``curse of dimensionality by solving the probabilistic solution with deep reinforcement learning. The paper proposes a simple algorithm and assesses its performance by considering a multiple-country model which allows for an analytic solution under symmetric states. Malliavin derivatives are employed to characterize the propagation of diffusion shocks whose computation also uses the probabilistic approach.
Ji Huang
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228577
0
0
0
0
2022/06/06
2022/09/24
2022/05/29
24
probabilistic solution macro-finance FBSDE deep learning Malliavin derivative
C63 E44 F40
0
0
0
Quantitative
Value Innovation by Creating Blue Oceans
Open
This text will explain to the reader how important it is for companies tocreate “Value Innovation” and to find “Blue Oceans”. It is shown on 3 exampleshow the customer can be made “addicted” to all-in-one services or platformsand how the customer accepts a high price elasticity due to convenience.It will be explained how creating “Blue Oceans” will result in havingalmost no competition and how customer-centric orientation and value creationare related to this strategy and how the term “Disruptive Innovation”differs from it. The text also defines the terms “Red” vs. “Blue” Oceans andgives a brief history of this sector.
Thomas Hammer
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4228460
0
0
0
0
2022/09/24
2022/09/24
2022/09/24
12
Blue Ocean Innovation Value Innovation
Blue Ocean Innovation Value Innovation
0
0
0
Quantitative
Boosting the Equity Momentum Factor in Credit
Open
Machine learning techniques have gained popularity in recent years but only to a limited extent in fixed income research. We do some new work in the application of Boosted Regression Trees to the equity momentum factor in the corporate bond market. We report significant performance gains to investors using machine learning-driven forecasts roughly doubling the alpha and information ratio to better known equity momentum strategies. In addition to past equity returns we include size and liquidity of stocks and bonds into our model framework.
Hendrik Kaufmann Philip Messow Jonas Vogt
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227837
0
2065
1
3
2020/09/03
2022/09/23
2022/09/23
2021/10/15
1
Cross-Sectional Asset Pricing Market Anomalies Momentum Machine Learning Boosting
G11 G12 G14
10
0
0
Financial
Localized Information Acquisition
Open
This study identifies previously undocumented geography-related diversity in investors’ information acquisition behavior ahead of days with scheduled earnings announcements. IP geo-localization of the SEC’s EDGAR server log reveals that local investors on average scale up their information acquisition prior to the announcement prompted by changes in pre-announcement uncertainty and varying predictably with exogenous firm relocation. Contrariwise their non-local counterparts tend to hold off until the day of the earnings announcement when new filings information becomes available. Further analysis implies that this divergent behavior is most consistent with a heterogeneous information-acquisition cost explanation. Lastly in a cross-sectional asset pricing application we find that the earnings announcement-day premium is higher when pre-announcement information acquisition by local investors is higher controlling for time-variant and -invariant firm characteristics.
Stephan Hollander Robin Litjens
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227836
260
1381
0
2
2020/11/02
2022/09/23
2022/09/23
2022/09/23
72
information acquisition geography earnings days asset pricing
G10 G14 G40
13
0
0
Financial
Corporate Social Responsibility and SEO announcement effects around the world
Open
This paper analyzes the role of Corporate Social Responsibility during seasoned equity offerings. On an international dataset I identify a positive relationship between CSR performance and SEO announcement returns that is weakened if the level of investor protection is high. At the same time the relationship is weakened if the level of stakeholder orientation is high. The results suggest that high CSR firms may benefit from more trust from shareholders to the effect that financing decisions are looked on more favorably especially when investors are in need and open for an additional soft signal of quality.
Torbjörn Müller
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227833
0
0
0
0
2022/09/01
2022/09/23
2022/09/01
34
Corporate Social Responsibility Corporate Finance Seasoned Equity Offerings
G14 G15 G32 Q56
0
0
0
Financial
Corporate Bond Price Reversals
Open
I demonstrate that U.S. corporate bond dealers mitigate adverse selection risk by passing potentially informed transactions to institutional investors that become liquidity providers to informed traders. I obtain these results in a theoretically-motivated empirical setup that contrasts corporate bond price reversals in bonds with different information asymmetry trading volume and dealers capital commitment. I find strong price reversals that become less pronounced following high-trading-volume days. The effect is the strongest when dealers end-of-day inventory does not change and when information motives for trading are the most acute: in bonds with the highest information asymmetry and before issuers earnings announcements. The results suggest that private information reveals itself in prices on high-volume days when dealers do not accept overnight inventory risk.
Alexey Ivashchenko
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227832
0
0
0
0
2019/10/31
2022/09/23
2022/09/22
65
corporate bonds trading volume reversal informed trading dealer inventory
G12 G14
0
0
0
Financial
Aggregate Versus Sectoral Shocks: A Missing Link In India’s Macroeconomic Story
Open
The comovement among different sectors of the Indian economy is found to be low which suggests an important role for sector-level disturbances vis-à-vis aggregate shocks in explaining economic fluctuations. Accordingly the paper adopts a multisectoral framework that accounts for aggregate as well as sectoral shocks to offer a new take on the Indian economy. Using a dynamic factor model to decompose GDP the paper finds that around 48 per cent of the variation in GDP in the long-run is explained by sectoral shocks with their contribution increasing to 98 per cent in the short-run. Thus short-run economic fluctuations or the business cycle is almost entirely driven by sectoral shocks. Among sectoral shocks those associated with public administration followed by manufacturing and agriculture are found to contribute most to the GDP movement in the short run. A historical decomposition analysis shows that sectoral shocks emanating in the manufacturing sector have been consistently unfavourab
Saurabh Sharma
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227842
12
35
0
0
2022/09/19
2022/09/23
2022/09/23
2022/09/16
22
Aggregate fluctuations Sectoral interaction Business cycle Comovement Indian economy
E1 E23 E32 C67
0
0
0
Quantitative
COVID-19 Pandemic Corporate Investment and the Real Option Value
Open
The outbreak of COVID-19 has a huge negative impact on the firms’ business activities. This paper investigates the effects of COVID-19 pandemic on corporate investment and firm value from the real option perspective. Based on the real-option based model (ROM) proposed by Zhang (2000) we find that COVID-19 crisis accelerates low-profitability firms to reduce investment scale and exercise put options timely thereby the value of put options is increased. This finding mainly exists in areas where the COVID-19 pandemic is worse and firms that have not received government subsidies related to COVID-19. We also find that the value of put options is more pronounced for non-state-owned enterprises and firms with higher internal control quality. However we do not find the change of growth option value of high-profitability firms during the COVID-19 which indicates that it is difficult for high-profitability firms to grasp the investment expansion opportunities under the COVID-19 pandemic. Our st
Chao Yan Ziyi Zhang Yi Feng
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227006
5
12
0
0
2022/09/22
2022/09/22
2022/09/22
50
COVID-19; Corporate Investment; Real Option Value; Put Options
G12 G30 M41
0
0
0
Financial
Short-term and Long-term Strategies for Dealing with Financial Risk Exposures
Open
With a risk-return perspective this work presents an original framework enfolding several profit & loss diagrams for a variety of option strategies to be employed in the short-term either for hedging or for speculative purposes. This work also discusses performance evaluation of several diversified portfolios subjected to different rebalancing procedures during a three-year period using data for securities traded at the Brazilian exchange B3 so as to assess the effectiveness of long-term investment strategies. Besides comparing annualized returns data for risk-adjusted returns given by the information ratio is useful to provide insights on the effects of rebalancing and also on the ‘mean reversion’ principle. Furthermore resorting to risk budgeting knowledge and equations this work detects that the “1/N Rule” for portfolio diversification is more than just an empirical rule-of-thumb and there is sound theoretical evidence sustaining this wide-spread practical procedure. Last but not
Marcelo Henriques-de-Brito Ph.D. CFP
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227074
2
2
0
0
2022/04/25
2022/09/22
2022/04/25
20
Option Strategies Derivatives Diversification Asset Allocation Financial Portfolio Rebalancing Portfolio Management Risk Return Financial Analysis Risk Management
G11 G13 G10 G12 G15 G20 G23 G30 G00 A20 B26 B40 B41 D14 E37 F17 O16
0
0
0
Financial
Who creates and who bears flow externalities in mutual funds?
Open
Using a unique dataset on the sectoral ownership structure of euro area equity mutual funds we study how different investor groups contribute to the negative performance externality from large outflows. Investment funds as holders of mutual funds are the main contributors to the flow externality. Insurers and households in particular less financially-sophisticated ones are the main receivers. These differences are due to investment funds reacting more strongly on past performance and displaying a more procyclical investment behavior compared to households and insurers. Our results raise consumer protection and financial stability concerns due to the trading activity of short-term oriented investors.
Daniel Fricke Stephan Jank Hannes Wilke
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227047
1
2
0
0
2022/09/22
2022/09/22
2022/09/22
72
asset management; mutual funds; externalities; contagion; performance.
G10 G11 G23
0
0
0
Financial
Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach
Open
Cryptocurrencies have become a trendy topic recently primarily due to their disruptive potential and reports of unprecedented returns. In addition academics increasingly acknowledge the predictive power of Social Media in many fields and more specifically for financial markets and economics. In this paper we leverage the predictive power of Twitter and Reddit sentiment together with Google Trends indexes and volume to forecast the log returns of ten cryptocurrencies. Specifically we consider Bitcoin Ethereum Tether BinanceCoin Litecoin EnjinCoin Horizen Namecoin Peercoin and Feathercoin. We evaluate the performance of LASSO-VAR using daily data from January 2018 to January 2022. In a 30 days recursive forecast we can retrieve the correct direction of the actual series more than 50% of the time. We compare this result with the main benchmarks and we see a 10% improvement in Mean Directional Accuracy (MDA). The use of sentiment and attention variables as predictors increase significantly
Federico DAmario Milos Ciganovic
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227022
1
2
0
0
2022/09/22
2022/09/22
2022/09/22
26
Cryptocurrencies Time series analysis Sentiment analysis Natural Language Processing
C32 C53 C55 G17
0
0
0
Financial
100-Years of Dollar Factor
Open
This paper combines multiple data sources to create 100-year daily data history forDollar Factor. In the first section of this article we introduced the Dollar Factor. Itrepresents the value of the US Dollar (USD) relative to its most crucial tradingpartners currencies. As a result it reflects the US economy relative to the rest of theworld. In the second section we combined data sources for 1926-1953 1953-1971and 1971-2022. However the data from the first period are at a monthly frequencyonly. Therefore in the next section we applied simple linear interpolation totransform them into daily data. Finally we combined the data into one time series tocreate 100-year daily data history for Dollar Factor.
Juliána Javorská Daniela Hanicova
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227001
2
1
0
0
2022/09/22
2022/09/22
2022/09/22
8
dollar dollar factor currency data history
G10
0
0
0
Financial
Peer Information in Loan Pricing
Open
This paper studies the effect of peer information banks collected from their previous lending to borrowers competitors on current loan pricing. I find that firms obtain lower loan rates when borrowing from banks that lent to close competitors recently. To establish a causal interpretation I utilize peer firms information-related class action lawsuit events and show that the benefit diminishes when the precision of peer information is reduced. Moreover the effect is more pronounced for firms with larger dispersion in analyst forecasts and higher uncertainty in hard information. Overall the findings suggest that banks learn from recent lending to peer firms and utilize peer information especially when information asymmetry is high.
Yangming Bao
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227073
0
0
0
0
2018/12/14
2022/09/22
2019/08/20
Peer information; Loan pricing; Bank lending; Information asymmetry
G14 G21 G32
0
0
0
Financial
Long-Only Value Investing: Does Size Matter?
Open
The academic value factor (long cheap stocks short expensive stocks) earns higher returns among small-cap stocks. However when viewed through the lens of a long-only value investor size is a less important factor. For example equal-weight large-cap value portfolios historically earned similar returns as small-cap value portfolios. This finding is robust to different value measures and markets. Despite realized returns being statistically similar the liquidity profile of the two value portfolios is dramatically different: Equal-weight large-cap value portfolios have approximately eleven times (or more) the liquidity of small-cap value portfolios.
Jack Vogel
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227067
0
0
0
0
2022/04/20
2022/09/22
2022/04/07
29
Value investing size investing value anomaly
G10 G11 G14
0
0
0
Financial
Forecast Targeting and Financial Stability: Evidence from the European Central Bank and Bank of England
Open
This paper investigates whether financial markets stability matters in setting monetary policy in the case of the European Central Bank and Bank of England over the period 2003-2018. We show that compared to the traditional Taylor Rule our Tri-mandate Taylor rule better explains the deviations of the observed policy rate from the implied interest rates for both central banks. Moreover the forward-looking version of the Tri-mandate Taylor rule shows that the monetary policy conducted by the ECB is largely affected by the US financial market stability while only the domestic financial market stability affects the monetary policy of BOE. Lastly we show that the preferences of monetary policy makers have shifted over time particularly in the aftermath of the 2008 financial crisis.
Claudia Curi Lucia Milena Murgia
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227029
0
0
0
0
2022/08/02
2022/09/22
12
Central bank Financial Stability Forecast Targeting Monetary Policy Taylor Rule Tri-mandate.
D78 E44 E52 E58 E63 G14
0
0
0
Financial
Synthetic Leverage and Fund Risk-Taking
Open
Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper I show that the same is true for funds risk-taking that is not due to portfolio rebalancing (synthetic leverage). For this purpose I propose a novel measure of synthetic leverage that does not require confidential regulatory data. In the empirical application for German equity funds I show that funds overall risk-taking is strongly driven by synthetic leverage. Moreover I find that synthetically leveraged funds underperform and are more fragile.
Daniel Fricke
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227014
0
0
0
0
2021/03/24
2022/09/22
2021/02/25
58
leverage risk-taking derivatives securities lending mutual funds
E44 G11 G23
0
0
0
Financial
What We Know About the Low-Risk Anomaly – A Literature Review
Open
It is well-documented that less risky assets tend to outperform their riskier counterparts across asset classes. This paper provides a structured summary of the current state of literature regarding this so-called low-risk anomaly. It provides an overview of empirical findings across implementation methodologies and asset classes. Furthermore it presents the most prevailing causes which are namely exposure to other factors coskewness risk investor constraints behavioral biases and agency problems. The paper concludes that despite some critiques there are good reasons to believe that the low-risk anomaly can be evaluated as an investment factor. It also identifies that more research is required to disentangle the proposed causes to fully understand the big picture of the anomaly with certainty.
Joshua Traut
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4226984
0
0
0
0
2022/07/19
2022/09/22
2022/07/06
34
Factor Investing Asset Pricing Style Investing Low-Risk Defensive Equity
G11 G12 G14
0
0
0
Financial
Sum of Successive Partitions of Binomial Coefficient
Open
This paper focuses on the successive partition method applied to a binomial coefficient in combinatorial geometric series. The coefficient for each term in combinatorial geometric series refers to a binomial coefficient. These ideas can enable the scientific researchers to solve the real life problems.
Chinnaraji Annamalai
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4226966
1
1
0
0
2022/09/22
2022/09/22
2022/09/22
3
computation combinatorics binomial coefficient partition method
C6
0
0
0
Quantitative
Insider Networks
Open
How do insiders respond to regulatory oversight on transmissions? History suggests that they form more sophisticated networks to circumvent regulation. We develop a theory of the formation and regulation of transmission networks. We show that agents with sufficiently complex networks bypass any given regulatory environment. In response regulators employ broad regulatory boundaries to combat gaming. Tighter regulation induces agents to migrate transmission activity from existing social networks to a core-periphery insider network. A small group of agents endogenously arise as intermediaries for the bulk of transmissions. We provide centrality measures that identify intermediaries.
Selman Erol Michael Lee
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4225180
135
1312
0
0
2018/06/20
2022/09/21
2022/09/21
2018/05/21
39
Network Formation Insider Trading Regulatory Ambiguity Endogenous Intermediation
D85 G14 G20
1
2
0
Financial
Digesting Three-Factor Model by XGBoost and SHAP
Open
This paper digests three-factor model by exploring the average impacts of factors on portfolio returns and how factors interact with each other. To do this we use SHapley Additive exPlanations method (SHAP) to interpret the results obtained by XGBoost. We find that the factors have different impacts on portfolio returns and interact with each other in different ways. We also find that the average impacts of factors on portfolio returns are similar before and after the publication of the three-factor model and the 2008 financial crisis but the interaction between factors vary across times.Note: the paper has been renamed as "Digesting Three-factor Model" and published at The Singapore Economic Review.
Weige Huang
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4225190
111
403
0
1
2021/03/16
2022/09/21
2022/09/21
2021/01/24
36
Asset Pricing Factor Model Machine Learning SHAP XGBoost
C10 C71 G12
4
0
0
Financial
Scalar and Vector Space of Combinatorial Geometric Series
Open
This paper discusses about the vector space of combinatorial geometric series. The coefficient for each term in combinatorial geometric series refers to a binomial coefficient. This idea can enable the scientific researchers to solve the real life problems.
Chinnaraji Annamalai
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4225265
1
1
0
0
2022/09/21
2022/09/21
2022/09/21
4
combinatorics binomial coefficient scalar vector space
C6
0
0
0
Quantitative
Domain Engineering for Applied Monocular Reconstruction of Parametric Faces
Open
Many modern online 3D applications and videogames rely on parametric models of human faces for creating believable avatars. However manually reproducing someones facial likeness with a parametric model is difficult and time-consuming. Machine Learning solution for that task is highly desirable but is also challenging. The paper proposes a novel approach to the so-called Face-to-Parameters problem (F2P for short) aiming to reconstruct a parametric face from a single image. The proposed method utilizes synthetic data domain decomposition and domain adaptation for addressing multifaceted challenges in solving the F2P. The open-sourced codebase illustrates our key observations and provides means for quantitative evaluation. The presented approach proves practical in an industrial application; it improves accuracy and allows for more efficient models training. The techniques have the potential to extend to other types of parametric models.
SIPIJ Journal
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4225263
0
1
0
0
2022/09/21
2022/09/21
2022/09/21
19
Face Reconstruction Parametric Models Domain Decomposition Domain Adaptation
Signal & Image Processing
0
0
0
Quantitative
Systemic Risk Allocation for Systems with a Small Number of Banks
Open
This paper provides a new estimation method for the marginal expected shortfall (MES) based on multivariate extreme value theory. In contrast to previous studies the method does not assume specific dependence structure among bank equity returns and is applicable to both large and small systems. Furthermore our MES estimator inherits the theoretical additive property. Thus it serves as a tool to allocate systemic risk. We apply the proposed method to 29 global systemically important financial institutions (G-SIFIs) to evaluate the cross sections and dynamics of the systemic risk allocation. We show that allocating systemic risk according to either size or individual risk is imperfect and can be unfair. Between the allocation with respect to individual risk and that with respect to size the former is less unfair. On the time dimension both allocation fairness across all the G-SIFIs has decreased since 2008.
Xiao Qin Chen Zhou Günter Coenen Juan Luis Vega-croissier Michael Woodford Michael Woodford Bennett T. Mccallum Edward Nelson Joao Miguel Sousa Andrea Zaghini Eric M. Leeper Jennifer E. Roush Eric M. Leeper Jennifer E. Roush Claus Brand Nuno Cassola
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4225211
744
0
0
2013/05/23
2022/09/21
2022/09/21
2013/05/22
Systemic risk allocation marginal expected shortfall systemically important financial institutions extreme value theory
G21 C14 G32
8
0
0
Quantitative
Systemic Risk Allocation Using the Asymptotic Marginal Expected Shortfall
Open
This paper defines asymptotic marginal expected shortfall (AMES) for banks within a financial system and provides corresponding estimation method based on multivariate extreme value theory. The estimation method does not assume a specific dependence structure among bank equity returns. Both theoretical AMES and the estimator possess additive property and thus can serve as a tool to allocate system-wide risk to individual institutions. We apply the AMES to 30 global systemically important financial institutions (G-SIFIs). We show that the AMES outperforms the MES in predicting extreme losses during extreme systemic events. By taking the AMES as the reference point for allocating systemic risk to individual institutions we show that an allocation according to simple bank characteristics such as size and individual risk can be imperfect. The allocation unfairness of individual risk or size across all the G-SIFIs has increased since 2008.
Xiao Qin Chen Zhou
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4225208
42
0
0
2022/09/06
2022/09/21
2022/09/21
2022/08/13
Asymptotic marginal expected shortfall; Systemically important financial institutions; Multivariate extreme value theory
G21; C14; G32
0
0
0
Quantitative
CDS market structure and bond spreads
Open
We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our identification strategy exploits the exogenous exit of a large dealer from the single-name CDS market as well as granular data on CDS transactions and bond portfolio holdings of German investors. Following the shock CDS market liquidity declines and bond spreads increase especially for the reference firms intermediated by the dealer. Individual portfolio data indicate hedging motives as a mechanism: as CDS insurance on their bond holdings becomes costlier investors offload the bonds. Our results therefore show that frictions in derivative markets affect the underlying securities which can raise firms’ cost of capital.
Andrada Bilan Yalin Gündüz
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4224377
0
0
0
0
2022/09/20
2022/09/20
2022/09/20
39
Credit default swaps dealer markets bonds markets credit risk Depository Trust and Clearing Corporation (DTCC)
G11 G18 G20 G28
0
0
0
Financial
To Play a Better Role as FMI and Safeguard Financial Stability
Open
The Fifth Plenary Session of the 19th CPC Central Committee called for “balancing development and security” throughout all areas and the entire process of national development. Financial security is a vital part of national security. Forestalling financial risks is a major task that requires constant efforts. The Central Commission for Comprehensively Deepening Reform pointed out at its 10th meeting that financial market infrastructure (FMI) serves as an underlying guarantee for sound and efficient operation of the financial market and an important tool for macro-prudential management and risk control. Facing complexities at home and abroad we should strengthen the bottom-line thinking improve FMI development and build a strong line of defense for financial security.
Shuang Liu
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4224358
0
0
0
0
2022/09/20
2022/09/20
2022/09/20
3
China Bond Market Financial Market Infrastructure
G18 G19 G28 G29
0
0
0
Financial
To Improve FMI Services and Support the Development of Asset Management Innovations
Open
Asset management FMI services play important roles in facilitating regulation supporting the market and protecting investors. This paper summarizes the innovations in asset management FMI services from the perspective of bank wealth management products (WMPs) credit assets exchange and trust market and analyze the potential for FMI service improvement in the transformation of asset management industry. Recommendations are proposed to improve FMI services and promote quality and efficiency in the industry.
Yinan Liu Yufei Liu
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4224355
0
0
0
0
2022/09/20
2022/09/20
2022/09/20
9
Asset management FMI services high-quality development
G18 G19 G28 G29
0
0
0
Financial
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