We investigate how information processing frictions contribute to household suboptimal saving and investment behavior. We find that 60% of open accounts in college 529 savings plans are invested suboptimally due to high expenses and tax inefficiency. Such investments yield an expected loss of 9% over the accounts’ projected lifetimes. Consistent with information processing frictions contributing to inefficient investment the extent of investment in suboptimal home-state accounts decreases with household financial literacy and increases with plan document disclosure complexity. Overall our results suggest that information processing frictions shape households’ suboptimal investment in college savings plans and reduce their financial well-being.
Operational risk is a substantial source of risk for US banks. Improving the performance of operational risk models allows banks’ management to make more informed risk decisions by better matching economic capital and risk appetite and allows regulators to enhance their understanding of banks’ operational risk. We show that past operational losses are informative of future losses even after controlling for a wide range of financial characteristics. We propose that the information provided by past losses results from them capturing hard to quantify factors such as the quality of operational risk controls the risk culture and the risk appetite of the bank.
We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then we employ topical modelling based on an unsupervised machine learning algorithm to decompose financial risk into its thematic drivers. The resulting aggregated indicator can identify major episodes of overall heightened financial risks in China which cannot be consistently captured using financial data. Finally a structural VAR framework is employed to show that shocks to the financial risk measure have a significant impact on macroeconomic and financial variables in China and abroad.
Alexander Al-Haschimi Apostolos Apostolou Andres Azqueta-Gavaldon Martino Ricci
Increasingly firms are shifting their sales channels from local brick-and-mortar stores to online marketplaces. In this study we investigate the motives behind this shift and whether online sales provide an informational advantage to investors over financial statements. First we find that firms’ share of online sales over total sales is influenced by pressure from industry peers and their perceived readiness for the use of e-commerce. Second we find that growth in firms’ online sales is positively related to firms’ future stock returns and earnings surprises especially with increases in the proportion of online sales to a firm’s total sales and in the base of online customers. Third we develop a measure of sales management by projecting firms’ reported sales on their online sales. We find that firms with a high level of discretionary sales have a low level of sales persistence and are more likely than firms with a low level of discretionary sales to experience an increase in accounts r
The purpose of this research is to formulate a mapping model on the potential of an herbal-themed tourism village based on a case study in Catur Village Kintamani Bangli Bali. The methodology of the research is a qualitative descriptive study by conducting a field survey namely collecting data by providing closed questions that ask the perceptions of stakeholders managing tourism villages in Bangli Regency community leaders in Catur Village small business owners in Catur Village and the Village Heads. The research results are processed using descriptive statistical analysis techniques by visually describing a set of data which can be done in two parts namely numerical descriptions narrative texts graphics and in-depth explanations. Results of research of the descriptive analysis using tourism village mapping indicators posted Catur Tourism Village as a fairly decent village (2.52) to be further developed as a tourist village. This tourist village is mapped into four potentials namely:
Dr. I Gusti Bagus Rai Utama Ni Made Diana Erfiani Dermawan Waruwu Putu Chris Susanto I Putu Darmawijaya Christimulia Purnama Trimurti Ni Putu Dyah Krismawintari
The purpose of this article is to find out whether the time value of money plays an important role in making investment decisions. This article will also discuss the present value and future value which are important factors that affect the time value of money and investment.
This paper introduces a new model-free version of the connectedness approach of Diebold and Yılmaz (2012). The main advantage of the model-free connectedness approach is that contrary to the state-of-the-art models it is not restricted by the number of variables in the network. Considering eight different datasets we show that model-free dynamics closely reflect the VAR QVAR and TVP-VAR-based connectedness measures. Given that the model-free connectedness approach can be seen as a special case of the Diebold and Yılmaz (2012) connectedness approach we argue that it should be used as a benchmark model to demonstrate the differences in dynamics when employing the VAR QVAR or TVP-VAR connectedness approach. Finally we show how the model-free connectedness approach relates to the R2 goodness-of-fit measure and how the total and pairwise connectedness indices are affected.
David Gabauer Ioannis Chatziantoniou Alexis Stenfors
We investigate the causal impact of public discourse on socially responsible market behavior. Across three laboratory experiments that vary several characteristics of the discourse and the nature of participation public discourse generally increases market social responsibility. Discourse positively impacts market behavior by influencing market participants’ expectations that others support socially responsible exchange; however allowing participants to opt out of discourse reduces such positive expectations and impacts. Our findings suggest that campaigns encouraging discussion of appropriate market behavior can have powerful impacts for addressing inefficiencies due to market failures but that policies encouraging broad public participation may be critical.
Björn Bartling Vanessa Valero Roberto A. Weber Lan Yao
The Financial Accounting Standard Board (FASB) recently issued Accounting Standards Update No. 2016-01 which requires firms to report unrealized gains and losses on available-for-sale (AFS) equity securities in net income. This paper uses a difference-in-differences design and a sample of public insurers to examine the capital market consequences associated with this reporting change. We find a significant decrease in firms’ earnings response coefficient (ERC) after the application of this new standard and this is driven by a decrease in earnings persistence. These results suggests that after the reporting change earnings less fully reflect the information investors use when revising their beliefs about firm value. However our evidence indicates no significant changes in investor assessment of overall firm risk following the reporting change suggesting that investors appear to understand that the reduction in earnings persistence is not reflective of a change in firm risk.
John L. Campbell James M. Carson Evan Eastman Dan Yang
This paper investigates the cross-quantile relationship between Bitcoin a carbon-intensive cryptocurrency and environmentally sustainable financial markets such as green cryptocurrencies carbon prices green stocks and green bonds. Using a cross-quantilogram approach our results show that Bitcoin is either negatively related or uncorrelated with environmentally friendly financial investments. The results suggest that green cryptocurrencies carbon prices green stocks and green bonds can provide diversification benefits for Bitcoin. However our findings show that the diversification benefits provided by cryptocurrencies weaken after 2020 while the diversification benefits provided by other markets are more stable over time. We derive the implications of our results for environmentally conscious investors and policymakers.
Linh Pham Muhammad Abubakr Naeem Sitara Karim Larisa Yarovaya
A simple manipulation of the dividend discount model establishes that firms book-to-market profitability and investment are related to their expected returns. This insight motivates the value profitability and investment factors in the Fama-French (2015) five-factor model. Yet variation in book-to-market profitability or investment stems not only from differences in expected returns. In this study we narrow down the variation in these variables that is actually informative about expected returns to construct enhanced versions of the value profitability and investment factors. Our enhanced factors exhibit considerably higher Sharpe ratios than the standard factors. Importantly a five-factor model using our enhanced factors exhibits a much better pricing performance and generates a more upward sloping multivariate security market line than the standard five-factor model. Moreover we show that our approach either complements or outperforms other recently proposed approaches to improve the
This paper empirically analyses whether post-global financial crisis regulatory reforms have created appropriate incentives to voluntarily centrally clear the over-the-counter (OTC) derivative contracts. We use confidential European trade repository data on single-name sovereign credit default swap (CDS) transactions and show that both the seller and the buyer manage counterparty exposures and capital costs strategically choosing to clear when the counterparty is riskier. The clearing incentives seem particularly responsive to seller credit risk which is in line with the notion that counterparty credit risk (CCR) is asymmetric in CDS contracts. The riskiness of the underlying reference entity also enters the decision to clear as it affects both CCR capital charges for OTC contracts and central counterparty clearing house (CCP) margins for cleared contracts. Lastly we find evidence that when a transaction helps netting positions with the CCP and hence lower margins the likelihood of cl
Mario Bellia Giulio Girardi Roberto Panzica Loriana Pelizzon Tuomas A. Peltonen
Photovoltaic technology has made considerable progress in recent decades but its insensitivitytowards the absorption of near-infrared (NIR) light limits its competitiveness. Withoutchanging the current designs and benefits of photovoltaic technology lanthanide-dopedupconversion nanoparticle (UCNP) provides a solution to the harvesting of NIR light bycombining two or more NIR light photons into a single visible light photon. However manyresearchers used core UCNP for solar cell applications but the low upconversion luminescence(UCL) and light-harvesting ability of core UCNP still limited their use. Therefore we designedand fabricated core@shell architecture of upconversion nanorods (UCNR) with high UCL bycoating an active light-harvesting NaYbF4 shell onto NaYF4:Yb Er core nanorods through ahydrothermal method. Moreover the effect of increased shell thickness on the crystalarchitecture and luminescent property of synthesized NaYF4:Yb Er@NaYbF4 core@shellUCNR were systematically investig
We use (donut) regression discontinuity design and difference-in-differences estimatorsto estimate the impact of a one-shot hiring subsidy targeted at low-educated unemployedyouths during the Great Recession recovery in Belgium. The subsidy increases job-findingin the private sector by 10 percentage points within one year of unemployment. Six yearslater high school graduates accumulated 2.8 quarters more private employment. Howeverbecause they substitute private for public and self-employment overall employment doesnot increase but is still better paid. For high school dropouts no persistent gains emerge.Moreover the neighboring attraction pole of Luxembourg induces a complete deadweightnear the border.
Factor models commonly used in asset pricing are based on tradable factors that do not represent theoretically relevant risks. To address this issue we develop a factor model that is tightly linked to intertemporal asset pricing theory. Specifically we show that a long-term Bayesian investor prices shocks to the market dividend yield and realized variance as they reflect news to long-term expected returns and volatility. Accordingly we construct intertemporal risk factors as long-short portfolios based on stock exposures to dividend yield and realized variance. We then estimate their risk prices and find that they are consistent with the Intertemporal CAPM under moderate risk aversion. We also show that our intertemporal factor model performs well relative to previous factor models in terms of its tangency Sharpe ratio and its pricing of key test assets including single stocks and industry portfolios.
Fousseni Chabi-Yo Andrei S. Gonçalves Johnathan Loudis
We examine how tax evasion affects offshore information production. Using the Foreign Account Tax Compliance Act (FATCA) as an exogenous shock we document that affected offshore asset management companies significantly enhance their performance as a response. This improvement comes from better information processing and is more substantial for tax-sensitive companies. Other policies related to fees and portfolio-based tax management are less affected. Our results reveal a novel substitution effect between tax evasion and information production suggesting that curbing offshore tax evasion can help improve competitiveness and efficiency in the global asset management industry and related markets.
We study the expectations of individual forecasters in the foreign exchange market. We find that the survey risk premium is less countercyclical than the rational risk premium primarily because it is not related to the forward premium. We also find that forecasters learn from their own forecast errors (rather than from consensus forecast errors) and that they overreact when forming expectations (as indicated by their forecast revisions). Finally while forecasters have worse forecasting performance relative to a simple benchmark the forecasters who emphasize the real exchange rate and do not overreact have better out-of-sample forecasting performance. Overall our results highlight the information contained in individual (rather than consensus) exchange rate forecasts.
The spectacular rise of ESG usage in investment decision-making made public companies’ environmental and social attitudes critical more than ever as their shares are sold and bought in stock exchanges. Even though the enlightened shareholder value approach (ESV) by Section 172 (S172) of the Companies Act 2006 requires directors to pay regard to their decisions’ environmental and social impacts UK public companies continue to commit environmental and social violations. Besides the UK relied on soft laws instead of a radical reform that is in demand among UK companies and British community. This dissertation argues that it is time to amend S172 with second enlightenment by integrating the Purposeful Company Model (PCM) that aims to create a sustainable future by requiring companies to have a sustainable purpose which blocks directors from pursuing shareholder wealth maximisation at the expense of non-shareholders. By the end of the research the double enlightened shareholder value approa
ESG Section 172 Enlightened Shareholder Value Purposeful Company Model Colin Mayer Environmental Social Governance Factors Better Business Act French Civil Code Article 1835 Article 1833 UK Companies Act 2006 Double Enlightened Shareholder Value Sustainability Sustainable Companies
This Appendix reports results on several additional analyses conducted to lend support to and extend our baseline finding. These involve the use of validation tests for our CS measure an alternative method of measuring CS an alternative method of measuring investment opportunities an alternative definition of investment and the use of a difference-in-differences methodology to account for endogeneity. The paper ‘The real consequences of classification shifting: Evidence from the efficiency of corporate investment ’ to which this Appendix applies is available at: .
This study utilises a dataset of 58 state-level marijuana decriminalisation and legalisation bills and referenda in the United States in 2010-2022 to estimate the implications of illicit market use for the value of Bitcoin in an event studies framework. Decriminalisation is associated with a strong and consistent positive Bitcoin price response around the event recreational legalisation induces a more ambiguous reaction and medical legalisation is found to have a negative albeit small impact on Bitcoin value. The effects are robust to various estimation windows in subsamples and when outliers heavy tails conditional heteroskedasticity and state size are accounted for. The findings confirm that shadow economy use as a medium of exchange contributes to the market value of cryptocurrencies which has substantial implications for cryptocurrency investors and policymakers.
Savva Shanaev Efan Johnson Mikhail Vasenin Binam Ghimire
We propose a proxy for global equity mispricing (mispricing $R^2$) based on an instrumented principal component analysis of the return variation of 198 mispricing anomalies. We find that mispricing $R^2$ is higher for countries with lower market development lower accounting quality and higher limits to arbitrage. Feature reduction methods show that short-sale constraints are the main driver for market mispricing. Unlike prior studies we find that mispricing is more elevated during periods of low investor sentiment. Our results reveal substantial differences in market efficiency across the globe.
Vitor Azevedo Minghui Chen Christoph Kaserer Sebastian Müller
We recover forward-looking expected net-of-fee abnormal returns (alphas) for active equity mutual funds from analyst ratings. In contrast to the typical equilibrium implication of zero alphas analyst alphas are negative for most funds but positive for the largest funds. We compare analysts subjective expectations with expectations from a rational expectations learning model. The models rational learner believes that an increase in fund size leads to a decrease in returns but we find no evidence that analysts believe so. Overall analysts expectations and the capital that follows analysts recommendations are difficult to reconcile with existing rational expectations models of active management.
Given a certain stock level extensive quantity and a portfolio we can aggregate the stock quantities across the holdings of the portfolio. The extensive quantity can be profits assets dividends carbon emissions etc. We can then study its dynamics at the portfolio level over a certain time period and relate it to variations observed at the stock level through a form of attribution. By carefully splitting the time period into buy-and- hold intervals we can properly identify the contribution of variations in stock level quantities to portfolio quantities. We illustrate such decom- position with an analysis of the value versus growth debate. Another use case is the analysis of the relationship between portfolio carbon emissions and stock level emissions as required by net zero investment policies.
We re-examine performance persistence amongst UK mutual funds. Specifically we investigate performance persistence among small portfolios of past high-performing funds. In contrast to the more common analysis of decile portfolios of funds we focus on persistence in the more extreme positive tail of the cross-section of fund performance. This paper contributes to the smaller literature on UK rather than US mutual fund performance. We investigate fund persistence based on practitioner index models as well as academic factor models focusing on small portfolios of funds using inference based on nonparametric persistence test statistics as well as conventional t-tests. We provide strong evidence of positive persistence among small-size portfolios of (past) high performing funds that is robust to alternative formation and holding periods and alternative performance models. We also document some sensitivity in inferences on positive persistence when using nonparametric versus conventional te
We propose a spatial model of city coupling a labour market a residential market and pollution resulting from commuter traffic. The city can be of any shape. Agents choose where to work and live in order to maximize their utility by consuming goods residential surface and by valuing air quality. Pollution dispersion is described by a scalar transport equation accounting for meteorological effects (diffusion advection by wind and lessivage by rain). We prove existence of equilibria and we propose an algorithm for computing solutions. We obtain analytical and numerical results emphasizing the combined role of economic and meteorological factors on urban air quality. We finally address welfare considerations.
We present a house price-at-risk (HaR) model that fits the historical developments in the Spanish housing market. By means of quantile regressions we show that a model including quarterly real house price growth a misalignment measure and a consumer confidence index is able to accurately forecast the developments in the Spanish housing market up to two years ahead. We also show how the HaR model can be used to monitor the downside risk.
The bootstrap appears to be well suited for performing accurate inference in medical cost-effectiveness analysis where data are generally drawn from a randomized experiment. However the literature to date has given priority to asymptotic approximations. Cost data though often exhibit heavy tails and this presents challenges to asymptotic methods. In this paper we study the performance of these methods for cost effectiveness analysis in medical research and compare them with inference based on the standard bootstrap. We find both methods fail to deliver reliable inference in the presence of heavy tails. We therefore consider two alternative resampling schemes: the wild bootstrap and randomization inference. Both methods provide accurate inference providing the underlying statistic has finite expected value. In general these methods provide inference with little size distortion and power above that achievable with asymptotic methods or the standard bootstrap.
Recent findings on the disagreement among ESG rating agencies challenge the reliability of the current scoring system. Building on this evidence the present paper implements a machine learning (ML) approach to test the intra-rater efficiency of ESG ratings; ie. the incorporation of ESG indicators into aggregated ratings. Relying on the whole Refinitiv(Asset4) data universe we report that on average 69.10 % of category scores up(down) grades are explained by changes in their relevant indicators. This accuracy rate is significantly improved by 27% for pillars and combined scores. Most importantly we detect and confirm the role of some rating biases such as firm characteristics corporate transparency and information complexity. In particular rating upgrades appear to be driven by inputs (corporate policies) while downgrades are more sensitive to outcomes (corporate actions). The originality of this paper is threefold: a) we propose a definition of the intra-rater’s scoring efficiency; b)
This paper explores asset pricing implications of unemployment risk from sectoral shifts.I proxy for this risk using cross-industry dispersion (CID) defined as a mean absolutedeviation of returns of 49 industry portfolios. CID peaks during periods of acceleratedsectoral reallocation and heightened uncertainty. I find that expected stock returns arerelated cross-sectionally to the sensitivities of returns to innovations in CID. Annualizedreturns of the stocks with high sensitivity to CID are 5.9% lower than the returns of thestocks with low sensitivity. Abnormal returns with respect to the best factor model are3.5% suggesting that common factors can not explain this return spread. Stocks with highsensitivity to CID are likely to be the stocks which benefited from sectoral shifts. CIDpositively predicts unemployment through its long-term component consistent with thehypothesis that CID is a proxy for unemployment risk from sectoral shifts.
This paper argues that the price-dividend ratio variability is explained in a large proportion by shocks affecting the subjective distribution of capital gain expectations: sentimental discount rate shocks affecting average beliefs explain at least 30\% and disagreement shocks up to 20\% of the variability of stock prices. The results from an estimated FAVAR model including the distribution of survey expectations show that in contrast to discount rate shocks sentiment shocks produce a hump-shape response in the P/D ratio and introduce additional persistence into the impulse-response functions. These shocks played an essential role during the 2002 dot-com bubble by driving the boom and subsequent bust in asset prices. These results bring additional empirical evidence in favor of asset pricing models with subjective beliefs that match the survey evidence on the dynamics of expectations.
This study examines whether the effect of firm-level financial reporting quality on corporate investment efficiency differs across jurisdictions with differential strength of institutional and regulatory enforcement. Institutional enforcement should mitigate adverse selection and moral hazard concerns driving inefficient investment in the way that firm-specific financial reporting quality has been shown to do within single-country settings. Using a sample from 25 countries accounting quality is first found to negatively associate with inefficient investing regardless of any country-level institutional characteristics. This association becomes more pronounced when the country-level strength of institutional enforcement is weaker consistent with firm-specific reporting quality increasing importance as country-level regulatory enforcement worsens. This evidence indicates that when the effectiveness of institutional enforcement in a country does not successfully alleviate information asymm
Stubble burning in North India has been a major contributing factor to the growing menace of air pollution in the National Capital Region of India for the last two decades. Though the environmental and health aspects of air pollution due to stubble burning have been studied its economic costs have not been studied much. We attempt to estimate these costs using Instrumental Variable (IV) Analysis. Using VIIRS Data from NASA we count the number of field fires per day in Punjab and Haryana during the September-December harvesting season. We use FIRECOUNT as the IV to estimate the concentration of PM2.5 and PM10 due to stubble burning. This is then regressed against the Gross State Domestic Product (GSDP) of New Delhi to identify the effect of increase in PM2.5 or PM10 on the GSDP of New Delhi. We find that field fires in North India contribute significantly to PM2.5 and PM10 concentration in New Delhi and that increase in PM2.5 by 100 per cent causes the GSDP of New Delhi to decrease by a
The loan standards question in the Federal Reserve’s quarterly Senior Loan Officer Survey is shown to be predictive of quarterly stock returns a month or two after its release. This is an apparent violation of semi-strong form stock market efficiency. Out-of-sample we use this signal and develop a simple risk and alpha model to market time the S&P 500. It outperformed the S&P 500 with a Sharpe (1966) ratio of 1.9 versus 0.34 for passive investment.
alpha commercial and industrial loans investing loan standards market efficiency market timing stock market portfolio theory returns risk-model semi-strong form Senior Loan Officer Survey Sharpe ratio survey
G11 G14 G17 & G21
Beyond Data Protection to Command and Control (C2) Sustainability in a Post-COVID19 World: Execution of U.S. Data Protection Act for U.S. Data Protection Agency; U.S. Data Protection Act Proposal by US Senator for New York Kirsten Gillibrand
The current article about execution of the Data Protection Act (DPA) proposal was sent a week before the State of New York state wide shut-down due to the global COVID-19 coronavirus pandemic to Senator Kirsten Gillibrand the US Senator from the State of New York who had proposed the DPA. The article underscored the need to advance the focus of its execution beyond ex-post reactive penalization of respective firms for compromise of privacy of personal information by firms storing such data to focus on ex-ante Sustainability and Survival material to individuals. There were two specific issues underlying the above recommendations. First it is not just about storage of such entrusted data but if and how such data was exploited by the trusted firms to Command & Control the Survival and Sustainability of respective individuals. Second in most cases those firms may not even be responsible for such compromise of individual data entrusted to them given that they are themselves subject to being
Drawing on agency theory and transaction cost analysis this study investigates the impact of refranchising and buybacks of downstream retail units by franchising firms on shareholder value (i.e. stock returns). It further evaluates the contingency role of firm and industry factors in shaping this impact. An event study analysis over the years 2001-2020 confirms that both refranchising and buybacks positively affect stock returns. However notable impact differences emerge between the two types of strategic decisions. For refranchising firms with lower royalty rates smaller returns-on-assets (ROA) and higher trade credit provided generate higher stock returns. Whereas for buybacks firms with higher royalty rates derive more value in stock markets. Analysis further shows that investors judge refranchising (buybacks) less (more) favorably in munificent industries but industry dynamism has no effect on the stock returns generated from these moves. Together the study offers important implica
When experience and a noisy signal shape expectation formation across cohorts in a constrained rational fashion a binding short-sale constraint interplays with beliefs to drive investors out of the stock market. Given beliefs nonparticipation can be optimal for extended periods or lead to clustering of entry and exit. In equilibrium the market view and the consumption share of participants explain the variations in the real short rate of interest and the market price of risk. These two endogenous variables also drive portfolios and the consumption shares of the cohorts of agents that populate our continuous-time overlapping generations economy.
The share of USD-denomination corporate bonds issued by non-US firms has doubled from 21% in 2004 to 42% in 2021. In this paper I examine the heterogeneous exposure of dollar bonds to exchange rate risk. An appreciation of the US dollar widens the credit spread differential (as the foreign discount) between dollar bonds issued by non-US and US firms. I provide theoretical and empirical evidence that the balance sheet and dollar home bias channels explain this additional exchange rate risk exposure. Through the balance sheet channel a non-US firm with significant dollar liabilities faces a balance sheet contraction while the dollar appreciates transmitting the negative shock to the dollar bonds it has issued. Through the dollar home bias channel an appreciation of the dollar reflects an increasing scarcity of cross-border dollar liquidity weakening the risk-taking capacity of those investors who do not have direct access to dollar funding. Dollar bonds issued by non-US firms are (ex-ant
In contextual optimization the decision-maker seeks optimal decisions to minimize a cost function that varies based on observed features. This context is common in many business applications ranging from on-demand delivery and retail operations to portfolio optimization and inventory management. In this paper we study the predict-then-optimize approach which first learns how outcomes result from the features and then selects optimal decisions based on these outcomes. We propose a principled manner to construct a regularization for forming the predictions via the subsequent optimization problem of selecting decisions to minimize cost. We term our framework decision-driven regularization which is a blended predict-then-optimize framework that carries both elements of predictive accuracy and decision quality and is tractable. It also addresses ambiguity in the definition of the cost function via a surrogate that depends on a new hyper-parameter. We additionally show that alternative persp
We investigate the use of Generative Adversarial Networks (GANs) for probabilistic forecasting of financial time series. To this end we introduce a novel economics-driven loss function for the generator. This newly designed loss function renders GANs more suitable for a classification task and places them into a supervised learning setting whilst producing full conditional probability distributions of price returns given previous historical values. Our approach moves beyond the point estimates traditionally employed in the forecasting literature and allows for uncertainty estimates. Numerical experiments on equity data showcase the effectiveness of our proposed methodology which achieves higher Sharpe Ratios compared to classical supervised learning models such as LSTMs and ARIMA.
This paper uses a field experiment among adolescents in India to study how interventions to increase one pro-environment activity (namely recycling single-use plastic carry bags) spill over to other pro-environment activities. I show using lab and field experiments combined with survey data that (i) providing information on the need to recycle does not change recycling behaviour whereas (ii) providing incentives along with the information leads to higher recycling. There is a positive spillover from the incentive treatment to other pro-environment activities. This positive spillover is observed among subjects who respond to the incentives and increase recycling. Notably the positive spillover is also observed among those in this treatment who do not respond to the incentives and do not change recycling behaviour. This provides evidence for complementarities among pro-environment behaviours and suggests that interventions may have unaccounted positive effects on non-target environment b
The presentation is based on the report "International models of crypto asset markets regulation" by Andrey Shamraev (MGIMO University) made All-Russian conference with international participation "Current problems of teaching international financial law" 27 October 2022.
The prices of major commodities since May 2020 have increased with their initial rally attributable to a low base effect created by sharp price declines in the wake of the pandemic. Such prices however have since steadily increased and exceeded pre-pandemic levels due to pressure from market forces such as rapid demand growth and material disruptions on the supply side. The drivers of the recent hikes in commodity prices include a supply-demand imbalance caused by asymmetrical responses to external shocks such as the coronavirus by economies. Both supply and demand fell early in the pandemic but advanced economies have since rapidly rebounded thanks to vaccine rollouts while major commodity-producing countries are scrambling to expand production.Using an input-output model based on recent hikes in major commodities this paper analyzes the commodity price rally the key drivers behind it and import trends in Korea to assess the impact of commodity prices on domestic production. The findi
Climate change as a social issue challenged the disciplinary and methodological traditions for research. Moreover climate change becomes more problematic as schools must be able to engage learners in learning situations that are challenging and rooted in geographical pedagogical traditions. Though it is present in the curriculum the present study systematically reviews the teaching of climate change from selected literature from 2019 to 2021. The objective of this study is to investigate approaches and strategies in the teaching and learning of climate change as well as its integration across different learning areas in the basic education curriculum within a global continuum and the conception and operationalization of climate change education. Of the accessed meaningful related literature the researchers selected one hundred fifty (150) pieces of literature further trimmed down to fifty-seven (57) and then to nineteen (19) from the year 2019 to 2021. The selection of literature is ba
We examine the value of analysts recommendations using a dataset of 45 countries 3.8 million firm-month observations and 222 return anomalies from 1994 to 2019. Unlike U.S.-based evidence recommendations lead to highly significant abnormal returns in international markets. Furthermore analysts do not seem to strengthen mispricing in international markets as they give more favorable recommendations to (anomaly-ranked) underpriced stocks and inconsistencies between recommendations and composite anomaly ranks lead to lower not higher abnormal returns. Recommendations are more valuable in less developed and less individualistic markets. Our results suggest that analysts recommendations provide more value to investors than previously thought.
Financial crises tend to follow rapid credit expansions. Causality however is far from obvious. We show how this pattern arises naturally when financial intermediaries optimally exploit economic rents that drive their franchise value. As this franchise value varies over the business cycle so too do the incentives to engage in risky lending. The model leads to novel insights on the effects of recent unconventional monetary policies in developed economies. We argue that bank lending might have responded less than expected to these interventions because they enhanced franchise value inadvertently encouraging banks to pursue safer investments in low-risk government securities.
This study examines the impact of asset sale proceeds on the method of payment used in subsequent acquisitions along with their value effect. In line with increased liquidity offered by asset sales firms that sell assets are more likely to subsequently conduct cash acquisitions. Additionally we find that in subsequent cash acquisitions firms using cash stemming from asset sales experience higher announcement abnormal returns compared to firms using cash from other sources of funds such as internally generated cash flows and equity issuance which are associated with agency costs and information asymmetry effects respectively. The higher wealth effects are consistent with the financing hypothesis which suggests that funds from asset sales can be associated with relatively lower cost than other sources of funds.
Christos Mavrovitis (Mavis) Nathan McNamee Nickolaos G. Travlos
Acquisition announcements by private equity funds are associated with significant reductions in customer visits to target firm outlets measured using aggregated mobile phone data. These reductions occur in primary but not in secondary buyouts. Customer reviews do not become more negative. Following deal completion the customer losses are reversed. Thus the initial decrease is unlikely to be the consequence of operational changes. The decrease in visits is smaller in areas with higher economic connectedness income stock market participation and self-employment rates and larger in altruistic Republican-voting and individualistic regions. The decrease is also larger for outlets facing more competition.
In my sample of US mutual funds the disposition effect is driven by investment style. I find a strong disposition effect for value funds but I find no disposition effect for growth funds. Focusing on a subsample of managers who manage value and growth funds at the same time I find that these managers show a disposition effect for their value funds but do not show a disposition effect for their growth funds. This finding casts doubt on whether the disposition effect really should be thought of as a behavioral bias. The finding that the disposition effect leads managers to make worse selling decisions is much more surprising than the existence of the disposition effect itself.