Do large firms just talk corporate social responsibility? - The evidence from...
Publication date: Available online 18 February 2020Source: Finance Research LettersAuthor(s): Pi-Hui TingAbstractUsing a sample of Taiwanese listed companies during 2010-2016, this paper examines how...
View ArticleDependency on FDI Inflows and Stock Market Linkages
Publication date: Available online 18 February 2020Source: Finance Research LettersAuthor(s): Dinh-Tri VoAbstractFor many emerging economies, FDI inflows are important sources of development though the...
View ArticleWill CEOs with banking experience lower default risks? Evidence from P2P...
Publication date: Available online 18 February 2020Source: Finance Research LettersAuthor(s): Qiang GONG, Chong LIU, Qianni PENG, Luying WANGAbstractUsing a novel dataset of 121 Chinese P2P lending...
View ArticleHow do European banks cope with macroprudential capital requirements
Publication date: Available online 19 February 2020Source: Finance Research LettersAuthor(s): Sergio Mayordomo, MarÃa RodrÃguez-MorenoAbstractThis paper studies the effect of macroprudential...
View ArticleThe Future of Hedge Fund Fees
We can, in a speculative mood, ask ourselves, âWill hedge fund fees continue to drop or have they reached an equilibrium after the decline of recent years?â But it would be better to ask instead...
View ArticleFast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)....
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have...
View ArticleImpossible Inference in Econometrics: Theory and Applications....
This paper studies models in which hypothesis tests have trivial power, that is, power smaller than size. This testing impossibility, or impossibility type A, arises when any alternative is not...
View ArticleDefault Ambiguity: Finding the Best Solution to the Clearing Problem....
We study financial networks with debt contracts and credit default swaps between specific pairs of banks. Given such a financial system, we want to decide which of the banks are in default, and how...
View ArticleMarket Power in Convex Hull Pricing. (arXiv:2002.07595v1 [math.OC])
The start up costs in many kinds of generators lead to complex cost structures, which in turn yield severe market loopholes in the locational marginal price (LMP) scheme. Convex hull pricing (a.k.a....
View ArticleThe Market Price of Risk for Delivery Periods: Pricing Swaps and Options in...
In electricity markets futures deliver the underlying over a period and thus function as a swap contract. In this paper we introduce a market price of risk for delivery periods of electricity swaps. In...
View ArticleESG investments: Filtering versus machine learning approaches....
We designed a machine learning algorithm that identifies patterns between ESG profiles and financial performances for companies in a large investment universe. The algorithm consists of regularly...
View ArticleQuantum Implementation of Risk Analysis-relevant Copulas. (arXiv:2002.07389v1...
Modern quantitative risk management relies on an adequate modeling of the tail dependence and a possibly accurate quantification of risk measures, like Value at Risk (VaR), at high confidence levels...
View ArticleHow Do Expectations Affect Learning About Fundamentals? Some Experimental...
Individuals' output often depends not just on their ability and actions, but also on external factors or fundamentals, whose effect they cannot separately identify. At the same time, many individuals...
View ArticleSatellite reveals age and extent of oil palm plantations in Southeast Asia....
In recent decades, global oil palm production has shown an abrupt increase, with almost 90% produced in Southeast Asia alone. Monitoring oil palm is largely based on national surveys and inventories or...
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Just how dangerous is economics for management practice?
It is often argued that academic ideas have no real significance for the world around us. Academics may profess high ideals about changing the world but their influence upon reality is limited. But...
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