Passengers' Travel Behavior in Response to Unplanned Transit Disruptions....
Public transit disruption is becoming more common across different transit services, which can have a destructive influence on the resiliency and reliability of the transportation system. Utilizing a...
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What leads financial and non-financial firms to adopt corporate social...
In an era when the voice of customers, environmentalists and other interest groups is getting stronger and stronger, corporate social responsibility (CSR) is increasingly adopted by firms and other...
View ArticleWoodford fund debacle shows an investment industry high on hubris
"Woodford and Newman are thought to have collected about £112m from a venture that blew-up five years after launch. It could only happen in investmentâ¦
View ArticleEarly Exercise Decision in American Options with Dividends, Stochastic...
Using a fast numerical technique, we investigate a large database of investorsâ suboptimal nonexercise of short-maturity American call options on dividend-paying stocks listed on the Dow Jones. The...
View ArticleDoes Option-Based Compensation Affect Payout Policy? Evidence from FAS 123R
Does option-based compensation affect payout policy? To address this question, we examine the adoption of mandatory expensing of stock options. Our identification strategy exploits the fact that the...
View ArticleThe Effect of Financial Flexibility on Payout Policy
We use variation in real estate prices as exogenous shocks to firmsâ debt capacity to study the causal effect of financial flexibility on payout policy. We show that an increase in financial...
View ArticleDo Mutual Fund Investors Overweight the Probability of Extreme Payoffs in the...
We investigate the role of extreme positive payoffs in the distribution of monthly fund returns in investorsâ mutual fund preferences. We document a positive and significant relationship between the...
View ArticleThe Market Microstructure of Central Bank Bond Purchases
We study quantitative easing (QE) policies from a microstructure perspective, drawing on intraday transaction-level data for German bonds (purchased under the Eurosystemâs QE program). An initial...
View ArticleCentralized Trading, Transparency, and Interest Rate Swap Market Liquidity:...
We use proprietary transaction data on interest rate swaps to assess the effects of centralized trading, as mandated by DoddâFrank, on market quality. Contracts with the most extensive centralized...
View ArticleGovernment Intervention and Strategic Trading in the U.S. Treasury Market
We study the impact of permanent open market operations (POMOs) by the Federal Reserve on U.S. Treasury market liquidity. Using a parsimonious model of speculative trading, we conjecture that i)Â this...
View ArticleShort Selling and Price Discovery in Corporate Bonds
We show short selling in corporate bonds forecasts future bond returns. Short selling predicts bond returns where private information is more likely, in high-yield bonds, particularly after Lehman...
View ArticleMagnus Carlsen: ‘You need to be very fortunate to be No 1 in fantasy...
Randomness? Correlation? Luck? Magnus Carlsen: âYou need to be very fortunate to be No 1 in fantasy footballâ https://t.co/R88zxXNi0v â moneyscienceâ¦
View ArticleStationary Heston model: Calibration and Pricing of exotics using Product...
A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we introduce the Stationary...
View ArticleUsing Networks and Partial Differential Equations to Predict Bitcoin Price....
Over the past decade, the blockchain technology and its Bitcoin cryptocurrency have received considerable attention. Bitcoin has experienced significant price swings in daily and long-term valuations....
View ArticleRelationship between Type of Risks and Income of the Rural Households in the...
This study examines the relationship between type of risks and income of the rural households in Pattani province,Thailand using the standard multiple regression analysis.A multi-stage sampling...
View ArticleEstimating the Impact of GST Implementation on Cost of Production and Cost of...
The implementation of Goods and Services Tax(GST) is often attributed as the main cause of the rising prices of goods and services. The main objective of this study is to estimate the extent of GST...
View ArticleDeterminants of Social-economic Mobility in the Northern Region of Malaysia....
Colleting the data through a survey in the Northern region of Malaysia; Kedah, Perlis, Penang and Perak, this study investigates intergenerational social mobility in Malaysia. We measure and analyzed...
View ArticleClustering Approaches for Global Minimum Variance Portfolio....
The only input to attain the portfolio weights of global minimum variance portfolio (GMVP) is the covariance matrix of returns of assets being considered for investment. Since the population covariance...
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