Rhetoric, Reality, and Reputation: Do CSR and Political Lobbying Protect...
We investigate whether firmsâ corporate social responsibility (CSR) reputations and environmental lobbying efforts protect shareholder wealth in the event of environmental lawsuits. Using a sample of...
View ArticleReal-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping...
We provide a new framework for valuing multidimensional real options where opportunities to exercise the option are generated by an exogenous Poisson process, which can be viewed as a liquidity...
View ArticleVenture Capital Communities
Although venture capitalists (VCs) can choose from thousands of potential syndicate partners, many co-syndicate with small groups of preferred partners. We term these groups âVC communities.â We...
View ArticleAre Generalists Beneficial to Corporate Shareholders? Evidence from Exogenous...
This study finds a positive, economically meaningful impact of generalist chief executive officers (CEOs) on shareholder value using 164 sudden deaths and 345 non-sudden exogenous turnovers. The higher...
View ArticleSEC Names Ray McInerney as Freedom of Information Act Officer
The Securities and Exchange Commission today announced that Ray McInerney has been named Freedom of Information Act (FOIA) Officer in the agencyâs Office of FOIA Services. This office promotes...
View ArticleThe stock market’s reaction to macroeconomic news under ambiguity
Abstract We investigate the quality of the information that macroeconomic news conveys to the stock market about future business conditions. Our econometric approach is consistent with the decision...
View ArticleLazy Prices
ABSTRACT Using the complete history of regular quarterly and annual filings by U.S. corporations, we show that changes to the language and construction of financial reports have strong implications...
View ArticleTaleb: What Size Tail Does the Smart Money Bet On?
Statistician/philosopher Nassim Nicholas Taleb critiques âbehavioralâ economics and finance as he looks at the differences between âbinary forecastsâ and âreal world payoffs,â in a recent...
View ArticleA theory for combinations of risk measures. (arXiv:1807.01977v5 [q-fin.MF]...
We study combinations of risk measures under no restrictive assumption on the set of alternatives. The main result is the representation for resulting risk measures from the properties of both...
View ArticleStatistical Consequences of Fat Tails: Real World Preasymptotics,...
The book investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat tailed distributions...
View ArticleInvestment behavior and firms' financial performance: A comparative analysis...
This paper assesses the role of financial performance in explaining firms' investment dynamics in the wine industry from the three European Union (EU) largest producers. The wine sector deserves...
View ArticleA random forest based approach for predicting spreads in the primary...
We introduce a random forest approach to enable spreads' prediction in the primary catastrophe bond market. We investigate whether all information provided to investors in the offering circular prior...
View ArticleChange of measure under the hard-to-borrow model. (arXiv:2001.10384v1...
As the Securities and Exchange Commission(SEC) has implemented a new regulation on short-sellings, short-sellers are required to repurchase stocks once the clearing risk rises to a certain level....
View ArticleHyperparameter Optimization for Forecasting Stock Returns....
In recent years, hyperparameter optimization (HPO) has become an increasingly important issue in the field of machine learning for the development of more accurate forecasting models. In this study, we...
View ArticleSmart City Governance in Developing Countries: A Systematic Literature...
Smart cities that make broad use of digital technologies have been touted as possible solutions for the population pressures faced by many cities in developing countries and may help meet the rising...
View ArticleStochastic control of optimized certainty equivalents. (arXiv:2001.10108v1...
Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it encompasses important...
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How free trade changes domestic firms’ ability to innovate
International trade as a percentage of global GDP more than doubled in the 35 years from 1973 to 2008; but trade activity has slowed since the onset of the Great Recession. Although economists have...
View ArticleSEC Issues Agenda for February 4 Meeting of Small Business Capital Formation...
The Securities and Exchange Commission today released the agenda for the Tuesday, Feb. 4 meeting of its Small Business Capital Formation Advisory Committee. During the meeting, the committee will...
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