Volatility-of-Volatility Risk
We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself. The volatility and volatility of volatility...
View ArticleTop Management Human Capital, Inventor Mobility, and Corporate Innovation
Using panel data on top management characteristics and a management quality factor constructed using common factor analysis on individual management quality measures, we analyze the relation between...
View ArticleLiquidity Transformation and Financial Fragility: Evidence from Funds of...
We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, that captures the mismatch between the liquidity of their portfolios and the liquidity...
View ArticleShaping Expectations and Coordinating Attention: The Unintended Consequences...
In an effort to increase transparency, the chair of the Federal Reserve now holds a press conference (PC) following some, but not all, Federal Open Market Committee (FOMC) announcements. Evidence from...
View ArticleCEOs and the Product Market: When Are Powerful CEOs Beneficial?
We examine whether industry product market conditions are important in assessing the benefits and costs of chief executive officer (CEO) power. We find that firms are more likely to have powerful CEOs...
View ArticleCall for Papers: Special Issue on ‘Behavioural Finance: A Global...
Guest Editors:Â Arman Eshraghi, Cardiff University
View ArticleBayesian state-space modeling for analyzing heterogeneous network effects of...
Understanding disaggregate channels in the transmission of monetary policy to the real and financial sectors is of crucial importance for effectively implementing policy measures. We extend the...
View ArticlePredicting Indian stock market using the psycho-linguistic features of...
Financial forecasting using news articles is an emerging field. In this paper, we proposed hybrid intelligent models for stock market prediction using the psycholinguistic variables (LIWC and TAALES)...
View ArticleNonlinear reserving and multiple contract modifications in life insurance....
Insurance cash flows become reserve dependent whenever contract conditions are modified during the contract term while maintaining actuarial equivalence. As a result, insurance cash flows and...
View ArticleUnveil stock correlation via a new tensor-based decomposition method....
Portfolio allocation and risk management make use of correlation matrices and heavily rely on the choice of a proper correlation matrix to be used. In this regard, one important question is related to...
View ArticleAssessing Guaranteed Minimum Income Benefits and Rationality of Exercising...
A variable annuity is an equity-linked financial product typically offered by insurance companies. The policyholder makes an upfront payment to the insurance company and, in return, the insurer is...
View ArticleChange-point Analysis in Financial Networks. (arXiv:1911.05952v1 [q-fin.ST])
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to...
View ArticleReinforcement Learning for Market Making in a Multi-agent Dealer Market....
Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a...
View ArticleEconophysics deserves a revamping. (arXiv:1911.05814v1 [q-fin.GN])
The paper argues that attracting more economists and adopting a more-precise definition of dynamic complexity might help econophysics acquire more attention in the economics community and bring new...
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Who has to ‘lean in’ for equal gender representation in...
Even though women surpass men in university graduation rates and other skill-based gains, the Conference Board of Canada (2011) found it will take over 151 years for women and men to achieve parity in...
View ArticleDo mega-mergers create value? The acquisition experience and mega-deal outcomes
Publication date: Available online 14 November 2019Source: Journal of Empirical FinanceAuthor(s): Nan Hu, Lu Li, Hui Li, Xing WangAbstractExisting literature shows that mega-M&A deals valued over...
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The Softbank-WeWork End Game: Savior Economics or Sunk Cost Problem?
Since my pre-IPO post on WeWork, where I valued the company ahead of its then imminent offering, much has happened. The companyâs IPO collapsed under the weight of its own pricing contradictions, and...
View ArticleDoes CEO Inside Debt Promote Corporate Innovation?
Publication date: Available online 15 November 2019Source: Finance Research LettersAuthor(s): Gemma LeeAbstractGiven the nature of innovation, optimal incentive schemes to motivate innovation should...
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