Miracle-dz/UniFAR-FTUs huggingface dataset:
Market Volatility and Momentum

We investigate the predictive power of market volatility for momentum. We find that (1) market volatility has significant power to forecast momentum payoffs, which is robust after controlling for market state and business cycle variables; (2) market volatility absorbs much of the predictive power of market state; (3) after controlling for market volatility and market state, other variables do not have incremental predictive power; (4) the time-series predictive power of market volatility is centered on loser stocks; and (5) default probability helps explain the predictive power of market volatility for momentum. These findings jointly present a significant challenge to existing theories on momentum.
ON NON-EXISTENCE OF GLOBAL SOLUTIONS TO A CLASS OF STOCHASTIC HEAT EQUATIONS

We consider nonlinear parabolic SPDEs of the form ! tu = ! (! )! /2u + b(u )+ " (u )˙ w ,w here ˙ w denotes space-time white noise. The functions b and " are both locally Lipschitz continuous. Under some suitable conditions on the parameters of this SPDE, we show that the above equation has no random-field solution. This complements recent works of Khoshnevisan and his coauthors.
Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations

This paper analyzes the existence of flights from stocks to bonds and vice versa. We propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and examine their characteristics and effects for the financial system. The empirical analysis for eight developed countries including the US, the UK, Germany and Japan shows that flights exist and are a common feature in many crises episodes. Our findings also reveal that flights are not merely country-specific events but occur simultaneously across countries. This indicates that there is a link between the occurrence of flights and cross-country contagion. Moreover, we show that flights enhance the resiliency of the financial markets by providing diversification benefits in times when they are needed most.
Options-Implied Variance and Future Stock Returns

Using options-implied variance, a forward-looking measure of conditional variance, we revisit the debate on the idiosyncratic risk-return relation. In both cross-sectional (for individual stocks) and time-series (for the market index) regressions, we find a negative relation between options-implied variance and future stock returns. Consistent with Miller’s (1977) divergence of opinion hypothesis, the negative relation gets stronger (1) for stocks with more stringent short-sale constraints or (2) when shorting stocks becomes more difficult. Moreover, the negative correlation of realized idiosyncratic variance or analyst forecast dispersion with future stock returns mainly reflects their close correlation with our conditional idiosyncratic variance measure.
On the Performance of Emerging Market Equity Mutual Funds

We document persistence in the performance of emerging market equity funds and find several notable differences compared to US equity funds. First, the contribution of winner funds to the return spread between winner and losers is substantially larger for emerging market funds. Second, only a small portion of the return spread between winners and losers can be attributed to momentum effects in emerging markets. Third, winner funds in emerging markets generate returns that are sufficiently large enough to cover their expenses. Overall, our findings suggest that emerging market funds generally display better performance than US funds.
Are Securities Also Derivatives ?

This paper has used the Arbitrage Theorem (Gordan Theorem) to show that first, all securities are derivatives for each other, and they are priced by the same risk neutral probability measure. Second, after the firm changes its debt-equity ratio, the equityholders can always combine the new equity with other existing securities to create a home-made equity which will give exactly the same time-1 payoff of the old equity. That is, we have a capital structure irrelevancy proposition: changes in firms’ debt-equity ratios will not affect equityholders’ wealth (welfare), and equityholders’ preferences toward variance are irrelevant. Third, when the firm moves from a more certain project to a more uncertain one, the time-0 price of equity will increase, but (because the time-1 payoff of common bond has an upper bound) the time-0 price of common bond will decrease. Fourth, different labor contractual arrangements will not affect the time-0 price of labor input. When the firm moves from a more certain project to a more uncertain one, the time-0 price of labor input will increase if it is under the share or the mixed contract.
Insider Ownership and Corporate Performance - Evidence from Germany

In this paper we address the question whether insider ownership affects corporate performance. Evidence from studies dealing with Anglo-Saxon countries is rather inconclusive, especially because results seem to be significantly affected by endogeneity. Economically, this is due to the fact that in these countries insider ownership seems to be mainly driven by management's compensation contracts. We argue that Germany is different in this regard, as insider ownership is often related to family control, stock-based compensation is less widespread, and the market for corporate control used to be less developed. Starting from this presumption, our data allows an unbiased observation as to whether insider ownership affects firm performance. Using a pooled data set of 648 firm observations for the years 2003 and 1998, we find evidence for a positive and significant relationship between corporate performance - as measured by stock price performance, market-to-book ratio and return on assets - and insider ownership. This relationship seems to be rather robust, even if we account for potential endogeneity by applying a 2SLS regression approach. Furthermore, the results hold for a sub-sample of firms that did not have a stock-based compensation program in place. Moreover, we find outside block ownership as well as more concentrated insider ownership to have a positive impact on corporate performance. Overall, the results indicate that ownership structure might be an important variable explaining the long term value creation in the corporate sector.
The Firm as a Subeconomy

The paper explores the economic role of the firm in a market economy. The analysis begins with a discussion and critique of the property rights approach to the theory of the firm as exposited in the recent work by Hart and Moore ("Property Rights and the Nature of the Firm"). It is argued that the Hart-Moore model, taken literally, can only explain why individuals own assets, but not why firms own assets. In particular, the logic of the model suggests that each asset should be free standing in order to provide maximal flexibility for the design of individual incentives. These implications run counter to fact. One of the key features of the modern firm is that it owns essentially all the productive assets that it employs. Employees rarely own any assets; they only contribute human capital. Why is the ownership of assets clustered in firms? The paper outlines an answer based on the notion that control over physical assets gives control over contracting rights to those assets. Metaphorically, the firm is viewed as a miniature economy, an "island" economy, in which asset ownership conveys the CEO the power to define the "rules of the game", that is, the ability to restructure the incentives of those that accept to do business on (or with) the island. The desire to regulate trade in this fashion stems from contractual externalities characteristic of imperfect information environments. The inability to regulate all trade through a single firm stems from the value of exit rights as an incentive instrument and a tool to discipline the abuse of power.
Global energy fluxes in turbulent channels with flow control

This paper addresses the integral energy fluxes in natural and controlled turbulent channel flows, where active skin-friction drag reduction techniques allow a more efficient use of the available power. We study whether the increased efficiency shows any general trend in how energy is dissipated by the mean velocity field (mean dissipation) and by the fluctuating velocity field (turbulent dissipation). Direct numerical simulations (DNS) of different control strategies are performed at constant power input (CPI), so that at statistical equilibrium, each flow (either uncontrolled or controlled by different means) has the same power input, hence the same global energy flux and, by definition, the same total energy dissipation rate. The simulations reveal that changes in mean and turbulent energy dissipation rates can be of either sign in a successfully controlled flow. A quantitative description of these changes is made possible by a new decomposition of the total dissipation, stemming from an extended Reynolds decomposition, where the mean velocity is split into a laminar component and a deviation from it. Thanks to the analytical expressions of the laminar quantities, exact relationships are derived that link the achieved flow rate increase and all energy fluxes in the flow system with two wall-normal integrals of the Reynolds shear stress and the Reynolds number. The dependence of the energy fluxes on the Reynolds number is elucidated with a simple model in which the control-dependent changes of the Reynolds shear stress are accounted for via a modification of the mean velocity profile. The physical meaning of the energy fluxes stemming from the new decomposition unveils their inter-relations and connection to flow control, so that a clear target for flow control can be identified.
Software defined radio for digital signal processing related courses

Software-defined radio (SDR) is widely used in undergraduate electrical and computer engineering curricula in the area of communication. It is commonly used as laboratory equipment for students to implement communication systems and verify communication theory learned in class. In this project, supported by a NSF TUES type II grant, Collaborative: TUES: Software Defined Radio Laboratory Platform for Enhancing Undergraduate Communication and Networking Curricula, we explore the possibility of applying the SDR as an education tool to teach fundamental signal processing concepts. To achieve this goal, we developed SDR based laboratory exercises. Although students are still required to develop analog/digital communication systems, the major focuses of these exercises are to illustrate fundamental signal processing concepts such as frequency-shift, spectra of real and complex valued signals, etc. The target students are junior level undergraduate students who have taken “Signals and Systems” but are not necessary enrolled in the class of “Digital Signal Processing (DSP). ” Two undergraduate students who have taken the course of “Signals and Systems” but have not yet taken or finished “Digital Signal Processing” were invited to test laboratory exercises developed in this project. The goal of this project is to develop laboratory exercises to demonstrate theories covered in fundamental signal processing courses. Such courses are mathematically orientated and students often feel challenged in these classes. We believe that experimental exercises with real-life application examples can motivate students and help them to develop a better understanding of signal processing theories.
Correlations of sensory parameters with physicochemical characteristics of Argentinean honeys by multivariate statistical techniques

Honey acceptability is mainly determined by its colour, crystallisation degree and aroma. In the present work, the sensory characteristics and physicochemical parameters of Argentinean honeys from different ecoregions were analysed. Moisture content, Pfund colour, diastase activity, hydroxymethylfurfural content, electrical conductivity, sugar profile and volatile compounds were analytically determined in honey samples, while sensory characteristics (crystal size, fluency score, sweetness, persistence, granularity, crystallisation, colour intensity and aroma) were evaluated by a trained panel. Significant correlations were found between honey crystallisation degree and hydroxymethylfurfural content and diastase activity (P ≤ 0.05). It could be confirmed that honey crystallisation interferes with the visual perception of colour. Floral, fresh fruit, ripe fruit, balsamic and wood aromas could be successfully linked to honey volatile profile (P ≤ 0.05). These results demonstrate that the parameters that could best guarantee the consumers’ preference can be successfully associated with the chemical composition of honey by multivariate statistical analysis.
A Secure Multiple Ad Hoc Networks Management for Ubiquitous Spontaneous Computing

of Master’s Thesis Academic A Secure Multiple Ad Hoc Networks Management for Ubiquitous Spontaneous Computing Mobile ad hoc networks (MANET) are groups of wireless mobile computers (or nodes), in which each node cooperates by forwarding packets for one another to allow nodes to communicate beyond one-hop wireless transmission range. Prior research in MANET has mainly focused on the routing functions in a uniformly and trustful environment. For instance, it is assumed that all the nodes in a specific area implement one particular routing protocol and have the accessible IP addresses uniformly. In this thesis, we present a group separating scheme based on group identifier (MANET-ID: MID), and describe the design and performance evaluation of a secure MANET management method, called WoN. WoN realizes secure group communication by encrypting messages based on MIDs, and allows multiple MANET routing protocols to coexistent in the same area, by conducting MID-based routing separation. Simulation studies for several scenarios of node mobility and traffic flows have revealed that adding WoN to prior proposed routing protocols (DSR and AODV) produces little overhead of routing control packets and has the good scaling behavior. In addition, we have shown that MID-based routing protocols maintains the independence behavior to other routing protocols.
Multi-Finger Gestural Interaction with 3D Volumetric Displays

Volumetric displays provide interesting opportunities and challenges for 3D interaction and visualization, particularly when used in a highly interactive manner. We explore this area through the design and implementation of techniques for interactive direct manipulation of objects with a 3D volumetric display. Motion tracking of the user's fingers provides for direct gestural interaction with the virtual objects, through manipulations on and around the display's hemispheric enclosure. Our techniques leverage the unique features of volumetric displays, including a 360° viewing volume that enables manipulation from any viewpoint around the display, as well as natural and accurate perception of true depth information in the displayed 3D scene. We demonstrate our techniques within a prototype 3D geometric model building application.
Forward-Looking Asset Correlations in the Estimation of Economic Capital

We analyze whether the credit market anticipated the financial crisis before the regulators using a methodology that combines the Merton model for the determination of economic capital with Vasicek’s factor model for asset correlation. Contrary to standard practice, we estimate the credit value at risk (VaR) and expected shortfall (ES) of a global loan portfolio using CDS spreads because credit derivatives incorporate forward-looking information on future systemic shocks that might be essential in the estimation of economic capital. We find that one-factor model can generally be a good representation of correlations in the credit market because of the high inter-sector correlations, although an appropriately chosen second factor can provide additional information for risk estimation in stressed times. We show that there were, indeed, signs of stress in the credit market that were not incorporated in the determination of economic capital during the crisis and that some financial institutions did not consider properly. The overall impression is that it is not so much that risk models were over-simplified to anticipate the financial crisis but rather, that they were backward-looking. A potential implication of our research is that the level of regulatory capital should react to events in the credit market.
Property Tax and Property Values: Evidence from the 2012 Italian Tax Reform

This paper estimates the impact of property taxes on property values. The unexpected introduction of a new fiscal regime on property taxes in 2012 adopted by the Italian government in December 2011 within the austerity plan to face the sovereign debt crisis ("Manovra Salva Italia") provides an ideal empirical setting. We exploit the cross-sectional variation in the tax rates set by each Italian municipality as the intensity of the treatment. We address the endogeneity problem by instrumenting the tax rate on primary residences with the timing of the elections. As showed by Alesina and Paradisi (2014) municipalities that did not have elections in 2013 set a tax rate about 0.1 percentage points higher than the others. Our results show that in those municipalities there has been a reduction in average property values about 6% higher the others. The effect is attributable to the relative higher property tax rate and provide evidence in favor of the capitalization hypothesis on property values.
The Duration of Judicial Deliberation: Evidence from Belgium

We utilize case-level data from a large Belgian court to study a policy-relevant but thus far empirically unexplored aspect of judicial behavior: the time that a judge takes to deliberate on a case before rendering a verdict. Exploiting the de facto random administrative assignment of filed cases among the serving judges and using survival analysis methods, we find that the duration of judicial deliberation varies not only with measures of case complexity, but also with judge and disputing party characteristics. We further find evidence consistent with the hypothesis that longer judicial deliberation improves the quality of judicial decisions.
Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements

This study investigates individual and institutional trading in competing firms around earnings announcements. We find individual and institutional informed trading in competing firms, which is dominant prior to earnings announcements. Magnitude of institutional (individual) net order flow coefficient decreases (increases) with lag length, suggesting that institutional trading captures information faster than individual trading. Individual net order flow transmit information cross-stock when competitor is a small firm while institutional net order flow conveys information cross-stock irrespective of firm size. Our results are informative for regulators regarding insider trading laws and provide insights for market participants in understanding individual and institutional trading impact on cross-stock price discovery process.
Bayesian model updating of a full‐scale finite element model with sensitivity‐based clustering

Model updating based on vibration response measurements is a technique for reducing inherent modeling errors in finite element (FE) models that arise from simplifications, idealized connections, and uncertainties with regard to material properties. Updated FE models, which have relatively fewer discrepancies with their real structural counterparts, provide more in‐depth predictions of the dynamic behaviors of those structures for future analysis. In this study, we develop a full‐scale FE model of a major long‐span bridge and update the model to improve an agreement between the identified modal properties of the real measured data and those from the FE model using a Bayesian model updating scheme. Sensitivity‐based cluster analysis is performed to determine robust and efficient updating parameters, which include physical parameters having similar effects on targeted natural frequencies. The hybrid Monte Carlo method, one of the Markov chain Monte Carlo sampling methods, is used to obtain the posterior probability distributions of the updating parameters. Finally, the uncertainties of the updated parameters and the variability of the FE model's modal properties are evaluated.
A Research On The Differences Between Business Negotiation Styles Of Turkish And American Managers

It is a well-proven evidence that national cultures of international business managers affect their negotiation styles. There are also cross-national studies suggesting that Turkish and American cultures have unique characteristics and differ in many ways. Combining these two premises, this research compares the key negotiation tendencies of 108 Turkish and American managers who have been somewhat involved in business negotiations on behalf of their organizations. Data was obtained through quantitative ranking style questionnaires and interviews administrated in the California State of America and major cities in Turkey. In the qualitative part, utilizing the mutual assessments of experienced Turkish negotiators on American negotiation styles and vice versa, the study gives insights into the debate on the determinants of cross-cultural business negotiations in the case of these two distinct cultures. Results from the independent-samples t-test which compared the means of quantitative scores reveal that although the negotiation styles of Turkish and American managers working for fully-domestic businesses differ significantly, both American and Turkish managers of multinational businesses tend to use similar negotiation styles. Coherently, some qualitative assessments were also found supporting the convergence trajectory towards cultureindependent ‘common’ principles in international business and cooperation negotiations.
KONSEP PEMASARAN AGRIBISNIS : PENDEKATAN EKONOMI DAN MANAJEMEN

Agribusiness marketing approach can be done through economic or management approach. The economic approach shows the overall presence of marketing channels that will be more efficient and determined by the Structure Conduct and Performance (SCP). The higher the percentage of market share indicates the strength of an enterprise in an industry. If the market share is relatively small and diffuse then the market tends to be in a competitive market reflected by market conduct and market performance On the other hand, a marketing approach to management is a business strategy of a company (group) to improve the efficiency or profit of a company and its networking. Value chain, supply chain, governance value chain analysis is part of the overall agribusiness marketing analysis, so players who have dominant power or market share will be visible in the marketing channel and the centralized market structure. The cooperation of small firms whose market share is relatively dispersed, the market structure tends to lead to a perfectly competitive market with the performances delivered to the market mechanism.
Estimating Beta: Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section

Abstract Researchers and practitioners face many choices when estimating an asset's sensitivities toward risk factors, i.e., betas. Using the entire U.S. stock universe and a sample period of more than 50 years, we find that a historical estimator based on daily return data with an exponential weighting scheme as well as simple shrinkage adjustments yield the best predictions for future beta. Adjustments for asynchronous trading, macroeconomic conditions, or regression-based combinations, on the other hand, typically yield very high prediction errors and fail to create market-neutral anomaly portfolios. Finally, we document a robust link between stock characteristics and beta predictability.