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Informational economic transmission is important (even after controlling for countries’ fundamental real and financial linkages) where informational connections emerge from an anomalous interdependence in agents’ beliefs about countries’ economic performance. We propose a novel measure of informational interdependence: the correlation (between countries) of analysts GDP one-year-forecast errors. Our measure is based on a learning model where informational transmission arise when agents learn but over-weight information about common factors instead of country-specific information (due to frictions in the learning process). Informational interdependence is substantial after performing several validity analyses and robustness checks. Furthermore we show considerable higher-order spillovers of economic shocks.
Alejandro Bernales Hriday Karnani Paula Margaretic
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801634
1
2
0
0
2024/04/20
2024/04/20
2024/04/20
45
Informational interdependence spillovers learning bias common factors.
D80 F30 F60 G14 G15.
0
0
0
Financial
We forecast the physical probability distribution of one-month equity index returns using an initial density forecast bid-ask prices of a cross-section of monthly index options and systems of asset pricing conditions for incomplete options markets with frictions. The option pricing kernel is restricted to be a positive monotonic and/or convex function of index return resembling the Intertemporal Marginal Rate of Substitution for standard utility functions. The forecast is obtained by information projection of the initial density forecast onto the set of distributions that are consistent with the prices and restrictions. The implied physical significantly improves upon the initial by using forward-looking information contained in the option prices. It also improves upon the implied risk neutral which confounds the physical density with the pricing kernel. The improvements in forecasting ability translate to an annual Information Ratio for Growth Optimal Portfolios of above 0.60 during b
Richard McGee Thierry Post Valerio Potì
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801530
1
2
0
0
2024/04/20
2024/04/20
2024/04/20
50
Conditional density forecasts; equity index options; asset pricing in incomplete markets; Empirical Likelihood.
C14 C53 G12 G14
0
0
0
Financial
I explain accrued interest all-in price cash price clean price dirty price flat price full price invoice price issue price price plus accrued and yield-based quote (many of which are different names for the same things). I discuss some international differences and some related topics (e.g. day-count conventions ex-coupon dates negative accrued interest and taxes). I give numerical examples and exercises accompanied by MATLAB code and Excel formulae. I also give a half-dozen challenge questions.I wrote this teaching note because I consulted dozens of bond pricing web sites and roughly 10 textbooks on this topic. However no single source answered all (or even most) of my simple questions and every web-based source (and some of the textbooks) included statements that were at best frustratingly confusing and at worse absurd or patently false.
Timothy Falcon Crack
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801467
0
1
0
0
2024/04/16
2024/04/20
2024/04/20
15
Accrued Interest Dirty Price Clean Price Ex-coupon Periods Negative Accrued Interest Day-Count Conventions Taxes MATLAB Excel
G12 G15 H24 E43
0
0
0
Financial
Targeted financing of transition to a "net zero" global economy entails climate transition risk. We propose a measure of transition risk at the country-sector dyad level composed of five tiers of transition risk based on two factors: i) the gap between a dyads existing emission factor (EF) - a measure of the greenhouse gas intensity of output – and the global frontier sectoral EF and ii) a dyads recent convergence towards the frontier EF. Dyads that are either close to the frontier or converging towards the frontier carry lower transition risk. Our measure using 45 sectors across 66 countries accounts for both direct greenhouse gas emissions as well as those that enter into production through complex supply chains as captured by intercountry input-output tables and can be applied at different levels of stringency to high- middle- and low-income economies. Our measure thus accounts for and sheds light on EF reductions through investment in lower emissions production techniques in own
Talan Iscan Benjamin Dennis
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801388
0
1
0
0
2024/04/20
36
Transition risk Greenhouse gas emissions Direct emissions Production emissions Convergence
E16 G10 Q54
0
0
0
Financial
This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem the paper examines the flow effects of asset purchase programmes on 10-year government bond yields in secondary markets around dates of public debt auctions. The findings indicate that Eurosystem’s asset purchase flows mitigate yield cycles during auction periods and counteract the amplification impact of market volatility. The dampening effect of central bank asset purchases on auction cycles is more sizeable and precisely estimated for purchases of securities with medium-term maturities and in jurisdictions with relatively lower credit ratings. The analysis has broader implications for monetary policy and market functioning in the euro area.
Federico Maria Ferrara
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801386
0
1
0
0
2024/04/20
45
bond yields Eurosystem flow effects public debt auctions unconventional monetary policy
E52 E58 G12 G14
0
0
0
Financial
This study investigates whether cross-sectional global foreign exchange (FX) ambiguity impacts currency portfolios. We observe that in contrast to FX volatility high FX ambiguity leads to high currency carry returns. We also reveal that FX ambiguity is weakly associated with the highest interest rate portfolio but strongly related to the second highest interest rate portfolio. These results suggest that FX ambiguity captures elements of uncertainty that are not captured by FX volatility. Additionally FX ambiguity is not linked to returns on currency momentum and value portfolios.
Takao Asano Xiaojing Cai Ryuta Sakemoto
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801233
0
1
0
0
2024/03/26
2024/04/20
2024/04/18
35
Currency Portfolio; Ambiguity; Carry Trades; FX Volatility
F31 G11 G15
0
0
0
Financial
What should investors do in the presence of economic regimes? Researchers and practitioners usually address this topic from a tactical asset allocation point of view. In this article we depart from the literature by tackling the issue strategically and analytically. Modeling economic regimes as a mixture of distributions we first investigate what happens to moments of the distribution of returns. We next deduct the implications for portfolios built under popular asset allocation methodologies (mean-variance-optimization risk budgeting). Using these analytical results we define new portfolio construction methodologies seeking to exploit the information in macroeconomic (macro) regimes through the composition of optimal portfolios for each regime the risk structure of these portfolios and the long-term probability of the regimes. We empirically show that macro regime-based portfolios can outperform traditional asset-based portfolios for both multi-asset and equity factor universes over a
Eric Bouyé Jerome Teiletche
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801115
0
1
0
0
2024/04/19
2024/04/20
2024/04/19
34
macro regimes strategic asset allocation mean-variance-optimization risk-based investing
G11 D81 C60
0
0
0
Financial
The availability of uncommitted funds (UCF) conditional on its payout policy is used as a novel measure of financial quality of pension funds. Fund level data from Switzerland are used to examine the structural characteristics of funds that discriminate between funds with and without UCF. We find that their availability is more likely if the fund follows a conservative investment strategy. Funds applying higher discount rates in valuing liabilities and granting higher benefits on employees’ capital are more likely to report UCF. Collective institutions are more likely to report UCF compared to company-owned pension funds.
Michael Huynh Yvonne Seiler Zimmermann Heinz Zimmermann
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801576
0
0
0
0
2022/07/25
2024/04/20
2024/04/20
46
Pension funds financial quality funding ratios uncommitted (free) funds pension management
D14 D71 G18 G23 G51 H55 J32 L51
0
0
0
Financial
Our model analyzing multi-decade data from the European Union suggests that gender inequality acts as a mediator between institutional quality and economic outcomes. Empirical results indicate that institutional quality significantly influences these outcomes with positive associations observed with trade and GDP and negative associations with innovation. Institutional quality positively (negatively) impacts workforce (educational) inequality. Institutions prioritize reducing workforce inequality to boost trade and GDP but struggle to address educational inequality which does not similarly contribute to economic growth. While workforce inequality has a negligible impact on innovation educational inequality significantly impedes it.
Hyun-Jung Nam Doojin Ryu Peter G. Szilagyi
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801421
0
0
0
0
2024/04/20
2024/04/20
2024/04/20
27
European Union; Gender inequality; Gross domestic product; Innovation; Institutional quality
F18 G15 G18 O33 I24
0
0
0
Financial
We investigate the impact of firm characteristics on stock returns in the Brazilian financial market considering a long list of characteristics found be relevant in the U.S. market. Employing Fama-MacBeth regressions alongside machine learning techniques we examine over 24 firm-level characteristics. Our findings highlight the stronger influence of price-related metrics such as momentum liquidity size and volatility over accounting variables. We also explore the robustness of these characteristics through the construction of various portfolios revealing significant alphas in multiple portfolio construction methods and substantial out-of-sample performance.
Josué Costa
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801117
0
0
0
0
2024/04/19
2024/04/20
2024/04/19
49
asset pricing stock characteristics portfolio choice machine learning
G15 International Financial Markets
0
0
0
Financial
The widespread adoption of mobile phones presents the possibility of creating employment and self-employment opportunities. Although several studies have documented the impact of mobile phones on income the link between mobile phone ownership income diversification and poverty reduction has not been fully explored. This paper aims to examine this relationship using nationally representative panel data and fixed effect models to account for confounding factors and unobserved heterogeneity. Results indicate that mobile phone ownership is associated with increased income diversification particularly through on-farm and off-farm self-employment as well as non-earned income. This relationship is more pronounced in households with lower levels of education and deprived areas. In addition owning a mobile phone is also found to decrease poverty via income diversification. Therefore policies aimed at enhancing access to mobile technologies could create a resilient income portfolio by decreasing
Masanori Matsuura Abu Hayat Md. Saiful Islam Salauddin Tauseef
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801449
0
1
0
0
2022/08/04
2024/04/20
2022/07/30
34
ICT Mobile phones Income diversification Poverty reduction Bangladesh
C26 I32 Q12 Q55
0
0
0
Quantitative
This study examines the Medicare Drug Price Negotiation Program (DPNP) established under the Inflation Reduction Act of 2022. Using a game theoretical framework we analyze the bargaining power between the Centers for Medicare & Medicaid Services (CMS) and Pharmaceutical Manufacturers (PM) in the negotiation process. Our findings reveal a significant imbalance favoring CMS suggesting a departure from impartiality and raising concerns about the fairness of the negotiation process. We propose a modified negotiation framework that incorporates a neutral third-party to address the imbalance and ensure a more equitable outcome. By conducting a simulation we demonstrate how our alternative approach remedies this imbalance in bargaining power. Additionally we discuss potential long-term repercussions of the current DPNP on pharmaceutical innovation and patient access. By highlighting these issues our study contributes to the ongoing debate about drug pricing policies and highlights the importa
Jorge Klinnert Jingyi Xing Alessio Lombini
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801335
1
1
0
0
2024/04/19
2024/04/20
2024/04/19
23
Inflation Reduction Act Medicare Drug Price Negotiation Program bargaining healthcare innovation game theory
C6 C7 D4 H0 I1 L5 O3
0
0
0
Quantitative
This comprehensive guide delves into the principles and application of positivism in research offering practical tips and examples for scholars to conduct empirical studies within this paradigm effectively. By synthesizing existing literature and addressing the complexities of positivism this study fills a gap in the research by providing a nuanced and detailed resource for researchers seeking to enhance the rigor and reliability of their research findings. The guide outlines the critical principles of positivism and discusses its strengths and limitations ultimately contributing to advancing knowledge and understanding in various fields. Through thoroughly examining positivisms evolving nature and considering alternative paradigms this study offers valuable insights for researchers aiming to conduct methodologically sound and impactful empirical studies.
Arthur William Fodouop Kouam
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801238
0
1
0
0
2024/04/20
2024/04/20
2024/04/20
7
Empiricism epistemology quantitative research positivism research methodology scientific inquiry
B41 C18 O32 Z13
0
0
0
Quantitative
This study explores the significance and influence of theoretical and conceptual frameworks in social science research. While these frameworks are crucial for understanding and analyzing complex phenomena many researchers need help constructing and utilizing them effectively. This study addresses this gap by distinguishing between theoretical and conceptual frameworks and examining their respective roles in research design and methodology data analysis and interpretation. Analyzing previous studies reveals the limitations and need for clarity surrounding the appropriate implementation of these frameworks. The study aims to provide a comprehensive understanding of their purposes and applications to enhance the credibility and validity of empirical studies. The findings of this study have practical implications for researchers enabling them to align their theoretical underpinnings with research objectives resulting in more insightful and coherent research outcomes.
Arthur William Fodouop Kouam
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801237
0
1
0
0
2024/02/22
2024/04/20
2024/02/22
6
Conceptual frameworks; data analysis and interpretation research design and methodology social science research theoretical frameworks
B41 C80 O30
0
0
0
Quantitative
This study delves into the niche market of initial public offerings (IPO) looking at the relationship between corporate innovation and earning management. It further considers CEO characteristics leadership outcomes and concomitantly links them to innovation. The findings document a positive relation between innovation and earning management activities indicating the tendency to alter financial reporting as innovation grows around IPO. Managerial characteristics unveil that younger CEOs are more prone to alter earnings as their leadership through innovation actions grows. The gender characteristics reveals only male leaders involvement on earnings management practices following innovation. Managerial compensation is substantial when it takes the form of equity-based remuneration. The results provide a novel insight about the impact of CEOs decision distorting the innovation process while upholding earnings management.
Dimitrios Gounopoulos Jingsi Leng Sotiris K. Staikouras
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801493
0
0
0
0
2024/04/20
2024/04/20
2024/04/20
46
Leadership Innovation Initial public offerings (IPO) CEO characteristics Earnings management.
C13 G30 O31 O32
0
0
0
Quantitative
This paper studies the effect of a free maternal and child healthcare programin Nigeria on maternal and child health outcomes. Causal evidence on the impact of free healthcare programs still needs to be more extensive. Using a difference in differences strategy and the DHS data. We estimate the causal effect of the program on outcomes of interest. The baseline estimate reveals that FMCHP improves child outcomes by reducing under-five mortality and child underweight and also improves maternal outcomes by increasing institutional delivery and prenatal and antenatal care use and does not improve cesarean section use by pregnant mothers. The mothers fixed effect estimates reveal that institutional delivery increases. However receiving any antenatal care decreases. Suggesting a welfare gain of zero price health policy and its nuances especially in developing countries where free health programs can have both positive and negative effects.
Olanrewaju Yusuff
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801184
0
0
0
0
2024/04/19
2024/04/20
2024/04/19
42
Program evaluation Free maternal and child health Zero-price Africa
C10 I12 L11 O15 O55
0
0
0
Quantitative
As global transactions increasingly migrate to online platforms fraudsters leverage modern techniques to exploit vulnerabilities in credit card systems necessitating efficient fraud detection methods. However imbalanced datasets pose a primary obstacle leading to issues such as feature engineering extraction overfitting and underfitting. Despite existing studies attempting to mitigate these issues they often fall short in removing overfitting and underfitting and their results lack benchmarking. This study introduces a novel customized logistic regression model with optimized hyperparameters and regularization to efficiently detect credit card fraud with remarkable accuracy. To enhance feature engineering we implement techniques such as random sampling for handling class imbalance feature selection train-test splitting feature scaling imbalanced class handling using Synthetic Minority Over-sampling Technique (SMOTE) and feature extraction using Principal Component Analysis (PCA). A com
Nafiz Fahad Md. Kishor Morol Anik Sen Abdullah Yousuf Noman Md. Jakir Hossen Mirza Farrukh Baig M. N. Ervina Efzan
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801244
0
15
0
0
2024/04/20
2024/04/20
25
Credit card fraud detection Machine Learning Imbalanced datasets Customized logistic regression model Accuracy
0
0
0
Automated market makers are a popular type of decentralized exchange in which users trade assets with each other directly and automatically through a liquidity pool and a fixed pricing function. The liquidity provider contributes to the liquidity pool by supplying assets to the pool and in return they earn transaction fees from traders who trade through the pool. We propose a model of optimal liquidity provision in which the risk-averse liquidity provider decides the investment proportion of wealth she would like to supply to the pool trade in a centralized market and consume in multiple periods. We derive the liquidity providers optimal strategy by dynamic programming and numerically find the optimal liquidity pool that maximizes the liquidity providers utility. Our findings indicate that the exchange rate volatility on the centralized market exerts a positive effect on the optimal transaction fee. Moreover the optimal constant mean pricing formula is found to be related to the relati
Xue Dong He Chen Yang Yutian Zhou
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801468
3
6
0
0
2024/04/20
2024/04/20
2024/04/20
52
0
0
0
The softmax loss function is a commonly used loss function in the field of classification which aims to increase the angle between two classes in feature space. However it has some limitations such as class overlap and treating all misclassifications equally and issue with imbalanced classes. Recently the I2CS (Intra concentration and inter-separability) loss function has been proposed with a different approach from the softmax loss function which is compressing data at the center and increasing class distance through the class center which makes it able to overcome some of the limitations such as class-imbalanced problems outliers and discover samples of unseen classes. Nevertheless it still suffers from class overlap problem. Therefore we have designed a new loss function with a novel approach to not only overcome the limitations of the softmax loss function but also address the class overlap issue of I2CS and be effective in dealing with class imbalances. Furthermore our purpose los
Bahman Jafari Tabaghsar Yahya Forghani Reza Sheibani
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801303
0
6
0
0
2024/04/20
2024/04/20
12
deep learning classification Loss function Distance between the class boundaries inter-concentration Softmax loss.
0
0
0
Decay heat validation data of spent nuclear fuel (SNF) are analyzed for their applicability domain (AD) and gaps. The data are based on measurements at the Clab facility and calculations using the SCALE code system. Bias-predicting machine learning models RF and WKNN are applied to the correlation data. Their learning curves are studied indicating error reduction at higher correlations. However the reduction is marginal given the current validation data size. The AD is proposed as a range of SNF characteristics within which the data and the models are observed and tested. Beyond the AD validation gaps exist. LWR case studies show that the validation coverage is absent in both MOX fuel and short cooling diminishes at higher burnup for low-enrichment fuel and extends with burnup for high-enrichment cases. Few tens of optimally selected additional measurements potentially both MOX and UO2 could be justified to achieve validation coverage in numerous applications.
Ahmed Shama Stefano Caruso Dimitri Rochman
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801241
1
5
0
0
2024/04/20
2024/04/20
23
SNF decay heat SCALE validation machine learning applicability domain
0
0
0
In this paper we present a novel approach to investigate the behavior of the photon sphere and shadow radius. Our method leverages extended gravitational decoupling and unveils two key analytic results. First  the additional matter field alters the photon sphere radius: it increases if $g(r_{ph}^{(0)})>0$ and decreases if $g(r_{ph}^{(0)})<0$ (where $g$ represents the derivative of a specific metric function evaluated at the original photon sphere radius). Second the presence of the matter field can modify the black hole shadow size. If $g\left(r_{ph}^{(0)}\right)>0$ the shadow shrinks while it grows for $g\left(r_{ph}^{(0)}\right)<0$. These findings offer a deeper understanding of how matter distribution affects the characteristics of black holes and their observable features. By providing a systematic framework supported by diverse illustrative examples our investigation not only sheds light on these fundamental aspects but also quantifiably advances the theoretical framework in black
Vitalii Vertogradov ALI OVGUN
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801385
0
4
0
0
2024/04/20
2024/04/20
10
Black hole Shadow Photon sphere Gravitational decoupling Deformation
0
0
0
For this paper we are going to compare and contrast five variables in the National Innovation System (Localization Originality Diversification Cycle time of technology and the Herfindahl-Hirschman Index) for BRICS countries (Brazil Federation of Russia India China and South Africa). To do so the paper first classifies BRICS countries into three different groups; fast catch-up catch-up and slow or no catch-up. Then the paper analyses the changes in those five variables for the thirty years using USPTO patent data. The paper finds that fast-catching-up BRICS countries have different trajectories for localization originality the cycle time of technology and HHI from slower catch-up BRICS countries. Then the paper discusses strategies for middle-income countries to break through the middle-income trap which is different from simply following advanced countries.
Jongho Lee Junhee Han Eunah Hong
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801623
0
1
0
0
2024/04/20
2024/04/20
29
national innovation systems BRICS middle income stage catching-up
0
0
0
We study non-parametric calibration of local volatility models which is formulated as an inverse problem of partial differential equations with Tikhonov regularization. In contrast to the existing literature minimizing the distance between theoretical and market prices of options as a calibration criterion we instead minimize the distance between theoretical and market implied volatilities complying with market practices. We prove that our calibration criterion naturally leads to the well-posedness of the calibration problem. In particular comparing to Jiang and Tao (2001) we obtain a global uniqueness result where no additional weight functions are required. Numerical results reveal that our method achieves a better trade-off between minimizing calibration errors and reducing overfitting.
Xinfu Chen Min Dai Chen Yang Zhou Yang
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801520
1
1
0
0
2024/04/20
2024/04/20
2024/04/20
26
implied volatility inverse problem local volatility Tikhonov regularization
0
0
0
This study examines the impact of insufficient neutron histories per cycle (N) on power distribution accuracy in Monte Carlo (MC) simulations of CANDU reactors when using equilibrium-xenon algorithms. We demonstrate that using insufficient N with equilibrium xenon introduces bias into the power distribution. The observed bias is systematic with a strong flattening affect where power is suppressed in high-power bundles and increased in low-power bundles by up to several percent beyond the real physical flattening effect of xenon on the three-dimensional power distribution. At least five million to ten million N must be used for criticality simulation with the 1/8th symmetric CANDU6 model to suppress the spatial power tilts and eliminate the bias. This recommended N is orders of magnitude larger than N’s used in previous MC simulations of CANDU reactors. A preliminary analysis of the CANDU bundle power tally variances shows there is an underestimation of the real variance.
Yeseul Seo Arief Rahman Hakim Douglas A. Fynan
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801243
0
1
0
0
2024/04/20
2024/04/20
20
full-core Monte Carlo simulation CANDU6 neutron histories per cycle equilibrium xenon power distribution bias
0
0
0
This paper presents a comprehensive study on volatility modeling and investment strategy testing in financial markets using a combination of statistical techniques and machine learning algorithms. The research aims to provide insights into the dynamics of market volatility and evaluate the effectiveness of different investment strategies in generating returns. The study utilizes historical stock data obtained from Yahoo Finance API and options data to develop and test various volatility models. The methodology involves preprocessing the data fitting ARIMA models and testing investment strategies based on the predicted volatility. The results indicate significant potential for generating profits using the proposed strategies highlighting the importance of accurate volatility modeling in financial decision-making. Keywords: Volatility modeling Investment strategy ARIMA Options data Financial markets.
Gaurav Srivastava
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801612
0
0
0
0
2024/04/20
2024/04/20
2024/04/20
10
Volatility modeling Investment strategy ARIMA Options data Financial markets.
G
0
0
0
In this comprehensive theoretical investigation we present the effects of manganese (Mn) substitution for iron (Fe) in samarium iron (SmFe2) on its electronic magnetic elastic and magnetostriction properties utilizing state-of-the-art Density Functional Theory (DFT) within the Generalized Gradient Approximation (GGA) complemented by the Full Potential Linearized Augmented Plane Wave (FP-LAPW) method. Our investigations are further enriched by Monte Carlo simulations framed within the Ising model providing a comprehensive understanding of the materials behavior under Mn doping. Our findings reveal a significant shift in magnetic anisotropy from the [100] direction in pristine SmFe2 to the [111] direction following Mn substitution. This transition enhances the materials magnetic favorability and introduces new electronic states at the Fermi level increasing the number of states available for conduction and enhancing its metallic behavior. Consequently this transition results in altered e
ABDESSAMIA RHAZAOUI Halima Zaari Khaoula El Asame Abdelilah Benyoussef Bassim Arkook Moussab Harb Abdallah El Kenz
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801365
0
0
0
0
2024/04/20
21
Magnetic properties Electronic properties DFT calculations Ising Model Monte Carol simulation
0
0
0
While there is extensive research on governance (G) and a growing focus on environmental (E) issues the social dimension (S) of ESG investing is still underscrutinized. Using the MSCI social scores we find that the two main components of a firms social score human capital and product safety command statistically significant (yet opposing) return premiums in the cross-section of US stocks. Specifically stocks with a high human capital score earn higher returns and stocks with a high product safety score earn lower returns. Consequently the aggregate social score commands no premium as the opposing effects of its components neutralize each other. Our findings challenge the common ESG investing approach of amalgamating factors without considering their distinct potentially contradictory risk and return implications.
Hoa Briscoe-Tran Iwan Meier Reem Elabd Valeri Sokolovski
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4799612
11
26
0
0
2024/04/18
2024/04/19
2024/04/18
40
ESG MSCI return predictability risk premiums S social scores
G11 G12 G14 M14
0
0
0
Financial
We conduct the first comprehensive study of blockchain currencies stablecoins pegged to traditional currencies and traded on decentralized exchanges. Our findings reveal that the blockchain market generally operates efficiently with blockchain prices and trading volumes closely aligned with those of their traditional counterparts. However blockchain-specific factors such as gas fees and Ethereum volatility act as frictions. Blockchain prices are determined by macroeconomic fundamentals and order flow. We use a rich transaction-level database of trades and link it to the characteristics of market participants. Traders with significant market share and access to the primary market have a greater impact on pricing likely due to informational advantages.
Angelo Ranaldo Ganesh Viswanath-Natraj Junxuan Wang
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800556
0
3
0
0
2024/04/18
2024/04/19
2024/04/18
63
Stablecoins foreign exchange blockchain price efficiency market resilience microstructure.
D53 E44 F31G18 G20 G28
0
0
0
Financial
We demonstrate null effects of persuasive delivery in investors’ decision-making. We assemble a vast dataset of 10817 hours of fund livestream shopping events covering 3835 Chinese mutual funds and ETFs with 556 million total views together with 4.67 million related social media posts. We find while inclusion in livestreams can temporarily attract investors’ limited attention the persuasiveness of delivery during these livestreams has minimal influence on investors’ attention sentiment as well as fund flows even though the overarching majority of the viewers of fund livestreams are retail investors. Our results question the claimed influence of persuasive delivery on financial decision-making.
Qingfu Liu Zhidan Luo Yang Song Chuanjie Wang
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800041
1
3
0
0
2024/04/18
2024/04/19
2024/04/18
64
Mutual Fund Persuasive Delivery Livestreaming Investor Attention
G11 G14 M31
0
0
0
Financial
This paper applies a False Discovery Rate (FDR) approach inspired by Barras Scaillet and Wermers (2010) to actively managed bond vs. equity mutual funds. FDR (and Fama and French 2010) methodology suggests bond funds outperform equity funds with approximately 33.9% (30.0%) of bond fund managers being skilled (generating net return +t(α)) vs. 1.8% (0.0%) for equity funds. FDR results also suggest Fama and French (2010) results suffer from Type II errors as predicted in Harvey and Liu (2018). We also find evidence of decreasing skill among corporate bond funds to fund size consistent with Berk and Green (2004).
Lifa Huang Wayne Y. Lee Craig G. Rennie
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800036
1
2
0
0
2024/04/17
2024/04/19
2024/04/17
25
False Discovery Rate Bootstrap Bonds Mutual Funds Equities Performance
G1 G11
0
0
0
Financial
We show U.S. open-end actively managed domestic bond mutual fund managers possess selection and timing skill based on monthly returns 1999-2016. Parametric tests bias against finding evidence of manager skill and correction for precision of alpha matters most when true alpha is uncertain. Our bootstrap simulations use precision-adjusted alpha (t(α)) while controlling for luck without relying on parametric statistics. We find that: the top 50 percent of bond mutual fund managers generate positive precision-adjusted alpha net of expense; selection skill contributes to long-term fund performance; and timing skill adds to short-term fund results especially for government compared to corporate bond funds.
Lifa Huang Wayne Y. Lee Craig G. Rennie
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800035
1
2
0
0
2023/11/25
2024/04/19
2023/11/25
75
Bond Market Mutual Funds Risk α β Performance Simulation
G1 G11
0
0
0
Financial
This paper is the first to apply a Berk and Binsbergen (2015 2017)-style Skill Ratio under a modified Barras Scaillet and Wermers (2010) False Discovery Rate (FDR) framework to bond mutual funds to not just confirm that many bond managers are skilled but demonstrate most of the benefits they generate accrue to fund sponsors rather than investors. Our Skill Ratio defined as the t-statistic of realized gross value added (RVA_G ) signals the risk-return tradeoff from active management. Our RVA_G is based on investible Morningstar benchmark-adjusted monthly gross returns times the natural log of assets under management (AUM). We propose and apply a new simulation process for FDR computation that mitigates small sample bias and mis-discovery on tails. For 571 actively managed domestic bond mutual funds between 1999-2016 28.7% of managers are skilled including 36.3% of 226 corporate funds and 17.3% of 345 government funds. Investor net value added is 2.4% overall or 5.0% (0.0%) on corporate
Lifa Huang Wayne Y. Lee Craig G. Rennie
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800032
1
2
0
0
2024/01/18
2024/04/19
2024/01/18
53
Bonds Mutual Funds Performance Skill Ratio Value Added False Discovery Rate Bootstrap
G1 G11
0
0
0
Financial
This paper examines the diversification benefits and hedging abilities of cryptocurrencies like Bitcoin for German stock market investors. From an economic perspective cryptocurrencies are interpreted as an additional asset class and incorporated into portfolios of equities. Using German stock market data and Bitcoin data from January 2012 to December 2020 we annually add Bitcoin to different long equities portfolios and apply performance and risk measures to them. Furthermore we utilise Bitcoin as a means of hedging equities allowing for the mitigation of both positive and negative stock market movements. Our findings indicate that equities-Bitcoin portfolios exhibit enhanced performance relative to equities-only portfolios. However the limited efficacy of Bitcoin as a means of absorbing market downturns suggests that while Bitcoin can provide substantially enhanced portfolio risk-return exposures it is constrained in its ability to serve as an efficient hedge to the stock market.
Mario Strassberger
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800902
3
1
0
0
2022/05/19
2024/04/19
2022/05/19
27
Bitcoin Portfolio Management Diversification Hedging
G11
0
0
0
Financial
Implementation shortfall whether from trading costs discontinuous trading or other frictions erodes the performance of any investment strategy. These frictions along with asset management fees are the main sources of the sometimes-vast gap between live results and paper portfolio performance. Smart beta and factor strategies are not exceptions. In this paper we investigate how smart rebalancing methods can capture most of the factor premia for a long-only paper portfolio while cutting turnover and trading costs relative to a fully rebalanced portfolio. We demonstrate the efficacy of prioritizing trades to the stocks with the most attractive signals and of focusing portfolio turnover on the trades that offer the highest potential performance impact.
Robert D. Arnott Feifei Li Juhani T. Linnainmaa
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800836
0
0
0
0
2023/03/11
2024/04/19
2023/03/07
0
Smart Beta Rebalancing Factor Investing
G1 G11 G23 D23 E3
0
0
0
Financial
With data on Brazilian companies simultaneously traded in São Paulo and New York and using large language models we find that local investors’ information advantage increases in response to company-specific as opposed to regional or global news especially for more local firms. But not all company-specific information has the same effect. Certain topics e.g. regulatory decisions and product innovation give local investors the edge while others e.g. environmental innovation and technological challenges favor international investors. The advantage to international investors increases (that of local investors decreases) when the information exhibits greater narrative diversity (complexity) consistent with their more diverse perspectives.
Howard Jones Jose Vicente Martinez Matthias Qian
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800705
0
0
0
0
2021/11/19
2024/04/19
2024/04/19
68
Geographic location Information asymmetry Information type Local and global investors
G14 G15 G20
0
0
0
Financial
This paper presents a non-linear framework to evaluate spillovers across domestic and international yield curves when policy rates are constrained by the zero lower bound. Based on the sample of US and UK data we estimate a joint shadow rate model of international yield curves accounting for the zero lower bound no-arbitrage conditions within and between government bond markets and the global nature of some of the bond risk factors. Results indicate that the post-2009 US monetary policy transmission mechanism and its spillover effects on the UK yield curve are non-linear and asymmetric.
Laura Coroneo Iryna Kaminska Sergio Pastorello
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800632
0
0
0
0
2024/02/09
2024/04/19
2024/02/09
50
Joint term structure models local projections monetary policy non-linear responses shadow rate term structure models yield curve zero lower bound
E43 E47 E52 G15
0
0
0
Financial
We investigate the evolving relationships between Bitcoin and equity portfolios emphasising risk assessment and management. We find that Bitcoin’s contributions to the active risks of equity portfolios have increased over time exceeding 10% in defensive strategies. As a result there is a growing imperative for investment professionals to quantify and manage Bitcoin-related risk exposures in their portfolios. We use intraday returns to enhance Bitcoin risk measurement significantly improving forecasts of equity portfolio sensitivities to Bitcoin’s risk. Addressing risk management we advocate direct Bitcoin hedging for optimal risk reduction and present the use of stock constraints as a practical alternative to limit the active Bitcoin betas in equity portfolios. We show that the Bitcoin-equity dynamics intensified post-COVID-19 and provide investment practitioners with practical guidance on managing unregulated asset risks.
Minhao Leong Vitali Alexeev Simon Kwok
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800462
0
0
0
0
2024/04/18
2024/04/19
2024/04/18
79
cryptocurrency high-frequency data equity portfolio risk management
C58 G10 G17 G15
0
0
0
Financial
In this study we examine the spillover of Bitcoin’s jumps and diffusive variations to traditional assets using high frequency data. For our cross-asset study we detect positive spillovers from Bitcoin to risk assets and negative spillovers to defensive assets. We also find evidence of positive jump and diffusion spillovers from Bitcoin to U.S. equity sectors particularly to the financials technology consumer discretionary and communication services sectors. By examining the source of these risk transmissions we show that these spillovers are exacerbated by increased economic exposures to blockchain and cryptocurrency technologies by U.S. companies. The empirical findings reveal that the price fluctuations of an unregulated asset such as Bitcoin can materially affect the price dynamics of regulated assets.
Minhao Leong Simon Kwok
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800458
0
0
0
0
2023/04/14
2024/04/19
2024/04/18
71
Cryptocurrency-linked stocks High frequency data Returns spillover Jumps spillover
C12 C22 G01 G12 G15
0
0
0
Financial
We use high-quality register data to analyze the relation between participation rates in asset markets and implied risk aversion coefficients within the framework of the consumption-based asset pricing model. We show that the higher the participation rate in asset markets the higher the consumption risk and thus the lower the implied risk aversion. As a result we observe a considerable reduction in the equity premium puzzle. We further find that risk aversion preferences vary across individuals conditional on demographic information such as gender age and educational background.
Stig Vinther Møller Erik Christian Montes Schütte Tobias Skipper Soussi
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800378
0
0
0
0
2024/04/16
2024/04/19
2024/04/08
0
risk aversion equity premium puzzle asset market participation consumption CAPM heterogeneous consumption microdata
C55 D12 E21 G12 G50
0
0
0
Financial
We use model-implied volatility to proxy for property risk perceptions in the commercial real estate lending market. Although loan-to-value ratios (LTVs) unconditionally decreased following the Global Financial Crisis LTVs conditioned on implied volatility and other theoretically motivated fundamental determinants of optimal leverage show no conclusive trend before or after the crisis. Taking reported property and loan attributes at face value we find no clear pattern of unwarranted credit being extended to commercial real estate assets. We conclude that systematically higher LTV decisions pre-crisis would have primarily stemmed from risk misperceptions rather than imprudent practices. Our findings suggest that the aggregate LTV level should be interpreted as a proxy for lending standards only after controlling for aggregate risk perceptions among a host of asset and lending market factors. Our findings also highlight the importance of measuring and tracking aggregate risk perceptions
Simon Firestone Nathan Y. Godin Akos Horvath Jacob S. Sagi
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800260
0
0
0
0
2024/04/19
53
Loan underwriting Lending standards Global Financial Crisis Mortgages Real estate finance Implied volatility
C22 D80 G01 G10 G18 G21 R38
0
0
0
Financial
In these notes quick references to the financial mathematics of interest rates: (i) Relationships between discrete rates distributed with different frequencies; (ii) Discrete vs compunding rates with continuous time capitalisation; (iii) Relationships between coupons term structure and par rates; (iv) Methods of interest rate extractions from quoted bond prices: a). inversion of the payment matrix if the payment grid is regular b). iterative bootstrap c). clumping. (iv) Duration modified duration and duration gap. (v) Convexity modified convexity and convexity gap.In queste note richiami di matematica finanziaria dei tassi dinteresse: (i) relazioni fra i tassi discreti distribuiti con frequenze diverse; (ii) trasformazione dei tassi con scadenze discrete in tassi con capitalizzazione in tempo continuo; (iii) relazioni fra le cedole le strutture dei tassi ed i tassi alla pari; (iv) metodi di estrazione dei tassi dinteresse dai prezzi dei titoli quotati: a). inversione della matrice dei
Maria-Augusta Miceli
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4799865
0
0
0
0
2024/04/18
2024/04/19
2024/04/18
28
interest rates spot forward term structure par rates duration convexity bond pricing
A22 A23 B26 D53 G12
0
0
0
Financial
We study investors’ perceptions of how inflation affects firms. Through the lens of a high-frequency event study we document that investors have a stagflationary view of the world. Stock returns decline in response to higher-than-expected inflation as investors expect nominal cashflows to remain stagnant while inflation expectations and the equity risk premium increase. Nominal yield increases are driven by inflation compensation and policy-sensitive real yields even decline following higher-than-expected inflation. Consistent with a stagflationary view in which investors interpret inflation as a marginal cost shock firms with high market power are expected to generate a relative increase in their nominal cashflows. Cashflow expectations of equity investors are aligned with those of professional earnings analysts both in the time series and across the market power distribution.
Benjamin Knox Yannick Timmer
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4799704
0
0
0
0
2023/08/20
2024/04/19
2023/08/15
78
Inflation Stock Returns Market Power Stagnant Cashflows Market Power
G12 E31 E44 L11
0
0
0
Financial
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade price and return. The randomness of market trade values and volumes during the averaging interval Δ results in the random properties of price and return. We describe how averages and volatilities of price and return depend on the averages volatilities and correlations of market trade values and volumes. The averages volatilities and correlations of market trade price and return can behave randomly during the long interval Δ2>>Δ. To describe their statistical properties during the long interval Δ2 we introduce the secondary averaging procedure of trade price and return. We explain why in the coming years predictions of market-based probabilities of price and return will be limited by Gaussian distributions. We discuss the roots of the internal weakness of the commonly used hedging tool Value-at-Risk that cannot be solved and remains the source of additional risks and
Victor Olkhov
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4799638
0
0
0
0
2023/10/17
2024/04/19
2023/09/28
17
theoretical economics average and volatility price and return market-based probability
C0 E4 F3 G1 G12
0
0
0
Financial
In this chapter we apply machine learning fundamental equity variables and big data equity sentiment variables to forecast equity beta. We find that machine learning algorithms are better at forecasting future stock beta than linear models. Big data variables such as stock level sentiment and news volume are significant in several models in addition to other fundamental variables. The results are statistically significant.
Alexei Jourovski Vladyslav Dubikovskyy Pere Adell Ravi Ramakrishnan Robert Kosowski
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800616
0
0
0
0
2019/07/19
2024/04/19
2019/07/19
0
equity market beta predictability machine learning systematic risk
G11 G12 G14 G17
0
0
0
Financial
Estimating transition probabilities using cross-sectional data is challenging due to the lack of state-to-state transitions over time for each observed individual. We propose a five-state Markov model (health disabled chronically ill chronically ill and disabled and dead) to calculate one-year transition probabilities using widely available general population mortality rates and annual prevalence rates derived from cross-sectional data. This results in an underdetermined system of transition probabilities which we solve by adding a set of mathematical relations between the unknown transition probabilities. We calculate annual prevalence rates and population mortality rates from five independent cross-sectional datasets from the Australian Survey of Disability Ageing and Carers (SDAC) and the Human Mortality Database respectively. We use multinomial logistic regression to smooth the raw annual prevalence rates accounting for age gender and time trends to remove noise. Finally we graduat
Salvatory KESSY
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800842
16
29
0
0
2024/04/19
2024/04/19
2024/04/19
28
Disability cross-sectional data transition probabilities prevalence rates multiple-state model long-term care and longevity.
C21
0
0
0
Quantitative
Estimating transition probabilities using cross-sectional data is challenging due to the lack of state-to-state transitions over time for each observed individual. We propose a five-state Markov model (health disabled chronically ill chronically ill and disabled and dead) to calculate one-year transition probabilities using widely available general population mortality rates and annual prevalence rates derived from cross-sectional data. This results in an underdetermined system of transition probabilities which we solve by adding a set of mathematical relations between the unknown transition probabilities. We calculate annual prevalence rates and population mortality rates from five independent cross-sectional datasets from the Australian Survey of Disability Ageing and Carers (SDAC) and the Human Mortality Database respectively. We use multinomial logistic regression to smooth the raw annual prevalence rates accounting for age gender and time trends to remove noise. Finally we graduat
Salvatory KESSY
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800873
11
21
0
0
2024/04/19
2024/04/19
2024/04/19
28
Disability cross-sectional data transition probabilities prevalence rates multiple-state model long-term care and longevity.
C21
0
0
0
Quantitative
We study the joint design of two prominent micro-prudential policy tools: bank regulation that enforces operational standards via rules and market discipline through information disclosure. Disclosure can be state-contingent but creates a trade-off between incentives and the ex-post protection of weak banks. Hence regulators use rules to maintain incentives and imperfect disclosure to provide ex-post insurance. In the optimal design there is precautionary regulation to lower the risk of market freezes and more disclosure in bad times to restore trade. Systemically important banks face more regulation but less disclosure. Banks prefer more disclosure but less regulation.
William Fuchs Satoshi Fukuda Daniel Neuhann
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4799706
0
2
0
0
2024/04/18
2024/04/19
2024/04/18
51
G21 G28 D82
Bank Regulation Stress Test Disclosure Information Design Moral Hazard Banking Crises
0
0
0
Quantitative
Two leaders simultaneously and publicly choose their aspirations that set the expectations of their constituents and then bargain `a la Rubinstein with frequent offers. In addition to the material payoff for her constituents a leader also cares about her reputation cost for not meeting expectations or reputation gain for exceeding expectations. In any pure strategy equilibrium if it exists at least one of the leaders lowballs expectations. When both leaders lowball they get the same material payoff as under behind-closed-door bargaining. However the constituents suffer when the leader cares enough about a political win but the opponent does not.
Deepal Basak
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4799699
0
1
0
0
2024/04/18
2024/04/19
2024/04/18
18
bargaining reference dependence
C78 D72
0
0
0
Quantitative
In my study the properties of dark matter in galaxy clusters were investigated includ-ing its distribution composition and interactions. Through this research a deeperunderstanding of the nature of this mysterious substance and its role in the formationand evolution of cosmic structures was sought.The distribution of dark matter within galaxy clusters was a subject of intense re-search and debate. It was crucial to understand its spatial distribution and densityprofiles in order to unravel its role in cosmic structure formation and evolution. Ob-servations of galaxy clusters revealed a significant disparity between the visible mat-ter consisting of stars and gas and the total mass inferred from gravitational effects.This discrepancy known as the ”missing mass problem” emphasized the dominanceof dark matter in the mass composition of clusters.One of the key properties studied was the distribution of dark matter which deter-mined the gravitational potential well within which galaxies and
Diriba Gonfa
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4799627
0
1
0
0
2024/04/18
2024/04/19
2024/04/18
23
Dark matter Galaxy clusters Distribution Density profiles Cold Dark Matter (CDM) Warm Dark Matter (WDM) Dark matter halos Dark matter fila- ments Spatial distribution Interaction with baryonic matter
Galaxy Clusters
0
0
0
Quantitative
Home price expectations play a central role in macroeconomics and finance. However there is little direct evidence on how home price expectations affect market choices. We provide the first causal evidence based on a large-scale high-stakes and naturally occurring field experiment in the United States. We mailed letters with information on trends in home prices to 57910 homeowners who had listed their homes on the market. Collectively these homes were worth $34 billion. We randomized the information contained in the mailing to create non-deceptive exogenous variation in the subjects home price expectations. We then used rich administrative data to measure the effects of these information shocks on the subjects market choices. We found that consistent with economic theory higher home price expectations caused a reduction in the probability of selling the home. These effects were highly statistically significant economically large in magnitude and robust to a number of sharp checks. Our
Nicolas L. Bottan Ricardo Perez-Truglia
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4800890
0
0
0
0
2020/05/22
2024/04/19
2020/04/25
120
expectations experiment housing market information
C81 C93 D83 D84 R31
0
0
0
Quantitative
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