Miracle-dz/UniFAR-FTUs huggingface dataset:
Competing social identities and intergroup discrimination: Evidence from a framed field experiment with high school students in Vietnam

We conducted a framed field experiment to explore a situation where individuals have potentially competing social identities to understand how group identification and socialisation affect in-group favouritism and out-group discrimination. The Dictator Game and the Trust Game were conducted in Vietnam’s Ho Chi Minh City on two groups of high school students with different backgrounds, i.e., French bilingual and monolingual (Vietnamese) students. We find strong evidence for the presence of these two phenomena: our micro-analysis of within- and between-school effects show that bilingual students exhibit higher discriminatory behaviour toward non-bilinguals within the same school than toward other bilinguals from a different school, implying that group identity is a key factor in the explanation of intergroup cooperation and competition.
Understanding Japanese Household Portfolios

Why do Japanese households hold so few stocks? We use a quantitative<br>life-cycle portfolio choice model to argue in favour of two main explanations. <br>First, households have a very low level of trust in the stock market due to<br>Japan's history of poor corporate governance. Second, stock returns to<br>individual stockholders have been low. Before 1990, this was due to excessive<br>fees and commissions. Since the 1990 financial crisis, the Japanese market<br>itself has delivered low and volatile returns. Counterfactual analysis<br>suggests that, if sustained, recent improvements in corporate governance and<br>economic performance should lead to higher stock market participation. <br>
Split Personalities? Behavioral Effects of Temperature on Financial Decision-making

Do environmental factors affect financial decision-making? And if so, do they have a homogeneous effect on different people? Using plausibly exogenous variation in exposure to fluctuations in temperature over a sample of individuals between 2004 and 2018 across 28 European countries and Israel, we estimate the causal effect of a marginal change in temperature on financial investments and its interaction with individual personality characteristics. We find that a 10% increase in temperature is associated with a 0.1 percentage point (pp) rise in the probability that an optimist invests in bonds and a 0.12 pp decline in the probability for stocks. However, among pessimists, we find null effects. We find similar results when we focus on the intensive margin of investment as well. Our results are identified of within-person variation after controlling for all shocks that are common within a country and year, thereby purging variation in time-varying country policies and macroeconomic conditions. These results are unique to optimists versus pessimists, rather than general happiness or interest. Furthermore, the variation in optimism is largely driven by attitudes about risk, rather than attitudes about trust. We uncover the intuition behind our findings using a simple theoretical model that incorporates optimism and the impact of temperature anomalies on cognitively demanding activities. Overall, our results are consistent with behavioral finance models where expectations moderate the transmission of shocks onto financial decision-making.
Living it up at the Hotel California: Employee Mobility Barriers and Collaborativeness in Firms' Innovation

Research has long recognized the importance of collaboration for innovation, but relatively little is known about the strategic drivers of collaborative innovation in firms. We posit that robust collaboration within firms can increase the inter-firm mobility of inventors and increase spillovers of innovative knowledge to competitors by mobile inventors. Therefore, by mitigating these value capture hazards associated with collaboration, barriers to employee mobility may induce firms to increase collaborativeness in innovation. Additionally, consistent with the mechanism underlying this proposition, we hypothesize that firms whose innovation entails more complex knowledge, which is known to impede inter-firm knowledge spillovers, will increase collaboration less when employee mobility increase. We test these hypotheses by leveraging quasi-exogenous changes in two legal mobility barriers for inventors across U.S. states, and find that higher mobility barriers are associated with greater inventor collaboration (as observed in patented innovation), and this effect is weaker for firms possessing more complex knowledge. These findings deepen our understanding of the strategic tradeoffs between value creation and value capture entailed in collaborative innovation within firms, and of human capital strategies that help to manage these tradeoffs.
Financial development and economic growth in Brazil

[We examine the association between economic growth and financial development for the Brazilian economy from 1997 to 2018. Vector-autoregressive (VAR) models and Granger causality tests are employed, with financial development represented by two different variables, the first being the “banking channel” (total bank loans to the private sector as a percentage of GDP), and the second being the “stock market channel” (market value of the companies listed at B3 - Brazilian Stock Exchange - as a percentage of GDP). Economic growth is measured by the real growth of Gross Domestic Product. The empirical analysis adopts the procedures developed by Toda and Yamamoto (1995). The main conclusions are that there exists strong evidence of unidirectional Granger causality between economic growth and financial development (from the latter to the former), when measured by both the banking and stock market channels, contradicting several results available in the literature.
Deep Reinforcement Learning for Algorithmic Trading

We employ reinforcement learning (RL) techniques to devise statistical arbitrage strategies in electronic markets. In particular, double deep Q network learning (DDQN) and a new variant of reinforced deep Markov models (RDMMs) are used to derive the optimal strategies for an agent who trades in a foreign exchange (FX) triplet. An FX triplet consists of three currency pairs where the exchange rate of one pair is redundant because, by no-arbitrage, it is determined by the exchange rates of the other two pairs. We use simulations of a co-integrated model of exchange rates to implement the strategies and show their financial performance.
Quantile Risk Premiums

This paper studies quantile-based moment premiums. The quantile-based approach delivers robust and flexible alternatives to premiums for variance, skewness and kurtosis risk and enhances our understanding of the pricing of risks in derivatives markets. To quantify these premiums, the paper introduces a new class of synthetic derivatives contracts: quantile swaps. Such contracts mimic quantile-based moment measures from robust statistics. An empirical study of index options detects two distinct premiums for dispersion and asymmetry, but no premium for steepness. This finding is in clear contrast to results obtained through traditional moment swaps and warns us to interpret moment premiums carefully.
Organizational Determinants of Firm Performance in Family Businesses: Organizational Commitment to Employees, Budgetary Support and Teamwork

Organizational processes related to commitment to its employees (OCE), budgetary support, and teamwork are critical for firms to build tacit knowledge and respond effectively to complex external environments. We study the impact of these organizational processes and how they interact with the firms’ entrepreneurial orientation and founders’ influence to affect firm performance in two major cities in Malaysia and the U.S. Responses from 113 Malaysian and 52 US SMEs are used to test four hypotheses. The study results show that all three organizational processes directly influences firm performance. Additionally, budgetary support positively interacts with the founders’ influence and entrepreneurial orientation to affect firm performance while founders’ influence and OCE negatively interact to affect performance. The findings suggest that founders’ influence on OCE versus budgetary support can have offsetting effects in family-run SMEs, and that the effect of entrepreneurial orientation on firm performance can be amplified with increasing level of budgetary support.
Beyond the 'Win-Win': Creating Shared Value Requires Ethical Frameworks

Porter and Kramer’s Creating Shared Value framework was recently called into question in a stinging attack in this journal. Recognizing that CSV shines as a managerial framework around “win-win” business and society issues — “A cases” — we argue that CSV leaves managers ill-equipped to legitimately manage “B-case” issues, where managers face the prospect of “win-lose” or “lose-win” social engagements. We argue that managers need to bolster CSV with ethical frameworks; specifically, norm-taking and norm-making frameworks. We show, through case illustrations, why managers are better positioned to create shared value legitimately through CSV , a multi-part framework built around CSV and augmented by ethical frameworks.
A Review of Forensic Audit

Forensic audit is considered to be an application of methodologies and technologies by an independent entity used to obtain a detailed understanding of the underlying economic risks facing an organization. Forensic audit services can significantly help in the detection, prevention as well as reduction of incidences of fraud in and businesses. Consequently, forensic audit was adjudged to be an efficient and effective tool against corporate fraud. The review also includes various other methods of fraud detection or bubble testing apart from forensic audit.
Contract Rescission in the Real Estate Presale Market

This study documents that over 10% of the presale contracts in the Hong Kong housing market between 1996 and 2014 were rescinded, resulting in a loss of HKD 436.67 million per year. We then investigate potential determinants of contracts rescission from a novel perspective of option theory. We find out-of-the-money presale contracts (with market price being lower than the outstanding payment at settlement) have a 12.2% higher rescission rate. The rescission rate is also higher when presale homebuyers bear more of the price risk as proxied by option delta and time-induced risk as proxied by time-to-maturity. Moreover, we find rescission rates drop significantly after the Hong Kong government’s housing market macroprudential measures. Our findings shed light on understanding the mechanism of presale contracts rescission, homebuyers’ strategic default behaviour, and the role of housing market regulation in mitigating rescissions.
Institutional Preferences and the Distress Puzzle

Explanations for the distress puzzle are highly controversial in the literature. This study uses stocks listed in Chinese equity markets to investigate the puzzle. This study employs “special treatment” stocks as proxies for near bankruptcy firms to estimate distress risk by the Ohlsen (1980) model. Consistent with U.S. studies, we find that the distress puzzle also exists in China. The study uncovers that institutions have a strong preference for low distress risk stocks. We propose two hypotheses with regard to the preference to explain the anomalous relationship between distress risk and stock returns, namely the change of the institution preference and the demand shock for low distress risk stocks. The results show that Oscore is not only a determinant of the level of institutional holdings, but also an important driving force for the contemporaneous change of institutional holdings. The sensitivity of Oscore to institutional holdings has significantly increased from the early to the later sample period. The findings provide strong support for the change of the institution preference to cause the distress puzzle, indicating that institutional investors in China become more like low distress risk stocks in now days than in past.
Urbanization and Housing Prices in OECD Countries: 1870 to 2016

We examine relationship between urbanization and real house prices for a panel of OECD countries using a long historical data that covers the period 1870 to 2016. We use parametric and non-parametric panel data models that estimate the impulse responses and the time-varying coefficients. Our parametric estimates show that an increase in the rate of urbanization has a significant positive effect on real house prices, while the non-parametric estimates show that the relationship between urbanization and real house prices is time-varying. We find that mortgage to GDP ratio is a channel through which urbanization contributes to higher house prices.
Understanding the Relationships between Service Quality, Customer Satisfaction and Loyalty: An Investigation of Ghana’s Retail Banking Sector

This study set out to examine the interrelationships between service quality, customer satisfaction, and customer loyalty for the Ghana banking industry. The paper also evaluates the effects of the individual dimensions of service quality on overall service quality. Primary research data were collected using questionnaires administered face-to-face, via systematic random sampling approach. Confirmatory Factor Analyses (CFA) was then used to test the hypotheses and address the research objectives as well. The results showed that the three variables were positively interrelated, albeit with different p-values for significance. The five dimensions of service quality, tangibility, reliability, responsiveness, assurance and empathy, each affects overall service quality positively and significantly). The effects of service quality on customer satisfaction was direct, positive but insignificant. In the same manner, customer satisfaction positively but insignificantly impacts customer loyalty. Service quality was seen to positively and significantly affect customer loyalty in this study. The findings therefore serve as a good guide for banks to work at improving service quality, which will in turn positively influence satisfaction and loyalty.
The Performance Of Asymmetric Alliances – The Case Of French SMEs In The Aircraft Industry

The purpose of this paper is to explore and discuss empirically about the effects of asymmetries between Small and Medium-sized Enterprises (SMEs) and Multinational Corporations (MNCs) on the performance of these companies in an alliance. We address both direct effects and indirect ones related to trust from the perspective of ten French SMEs operating in the aircraft manufacturing industry. Our empirical results suggest that asymmetries between partners have different direct and indirect effects on performance. These effects depend both on the type of asymmetry and the specific dimension of performance under consideration. We observe significant positive direct and indirect effects of resource complementarities on the overall performance of the alliance. In addition, we find that there is a direct and significant negative influence on relational performance of differences in size and organizational culture.
The Discount Rate in Valuing Privately Held Companies

To value privately held companies, considered as nonquoted companies and thus with low marketability, two methods can be applied to adjust the business value for extra risk: (1) reducing the calculated value by the transaction costs or (2) raising the minimum expected rate of return by investor. The Spanish Accounting and Business Administration Association suggests use of the second method. This article examines its proposal in an empirical way, concluding that the discount rate estimated is 2.45% higher than that calculated by the traditional CAPM model, which implies a drop in company value of nearly 20%. In other words, the AECA’s proposal can be considered a valid method for appraisers to calculate the discount rate in the context of valuing privately held companies.
Short-Selling Constraints and Stock-Valuation Pattern: A Regime-Event Analysis

Employing a novel approach of integrating regime analysis with event analysis, we examine the overall valuation pattern of stocks that traverse the short-sale-ban and the no-ban regime, employing data from the Hong Kong market. Switching from the ban to the no-ban regime, stocks initially undergo net cumulative undervaluation and then revert to fundamental valuation. Switching from the no-ban to the ban regime, stocks initially experience net cumulative excessive overvaluation and then revert to permanent overvaluation. The amount of net cumulative undervaluation is greater than the amount of net cumulative excessive overvaluation. This documented overall pattern offers a broad perspective on short-sale constraints and stock valuation.
A New Index of Option Implied Absolute Deviation

This paper proposes of new index of forward looking absolute deviation extracted from option prices. The new index, named ADIX, is model-free and easy to compute using at-the-money straddle prices. An empirical analysis using S&amp;P 500 options data for the time period 1996-2019 reveals that ADIX has similar behavior to VIX in terms of time series dynamics, risk premiums and forecasting ability. The new index offers an alternative risk measure, more intuitive as a measure of dispersion, to study information embedded in option prices.
What Do Interest Rates Reveal About the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets

We propose a novel theory and provide supporting empirical evidence that lower long-term interest rates (e.g., because of ``quantitative easing'') harm informational and allocative efficiency. We develop a noisy rational expectations equilibrium model with an endogenous interest rate that investors use to update their beliefs about economic fundamentals. The interest rate reveals information about discount rates, allowing investors to extract more information about cashflows from stock prices. The precision of the interest-rate signal and, hence, stock-price informativeness increase in the interest rate. As a result, informational and allocative efficiency rise with bond and money supplies and with policy transparency.
Cryptocurrencies are Not Immune to Coronavirus: Evidence from Investor Fear

This paper examines the predictability of fear of coronavirus on future returns and volatility of five major cryptocurrencies during the COVID-19 outbreak. Adopting Google search volume on a comprehensive list of coronavirus-related terms to construct a gauge of fear, we show that daily innovation in fear of coronavirus is associated with next-day negative returns and positive volatility. The results indicate that (i) cryptocurrencies (particularly bitcoin) are not a safe haven for investors against the COVID-19 pandemic, and (ii) Google search contains important information that might be useful to predict cryptocurrency market movements during times of crisis.
The Nexus Between Governance Factors and Foreign Direct Investments: Evidence From Panel Data

In recent years, Foreign Direct Investments (FDI) have been a vastly discussed economic term by both researchers and policy-makers. Foreign expertise provides various economic benefits to the host countries through improving existing production processes, increasing competitiveness and reducing disparities in welfare. Foreign direct investment flows could be influenced by several institutional, economic and political factors. This paper aims to check up on the empirical relation between FDI and these factors in a panel of 12 countries for 2002-2015 time period. In analysis, we employed an empirical method which considers cross-sectional dependence. Therefore, we explored long-term relations between variables through an estimation approach using Westerlund (2008) Durbin Hausman cointegration method and AMG estimator after unit root tests of variables. Empirical results clarify that there’s a positive connection between FDI and governance factors for some countries in the panel.
Overinvestment and Stock Price Crashes: Evidence from Mergers and Acquisitions

A sizeable amount of empirical research attributes stock price crashes to agency reasons, predominantly on managerial bad news hoarding behaviour manifested through the financial reporting opacity channel. Admittedly, another prominent agency-based explanation, namely the overinvestment channel, remains largely unexplored. Using a sample of 68,735 firm-year observations―with 8,096 firm-year observations featuring completed M&amp;A deals―of US-listed firms from 1990 to 2018, this study documents a strong positive relationship between past M&amp;As (over)investment activity and future stock price crashes. This positive overinvestment-crash risk relationship is more pronounced when firms face strong product market competition. The relationship appears to be driven by M&amp;A deals that exhibit negative abnormal returns on their announcement. More importantly, this study further demonstrates that stock price crashes triggered by the overinvestment channel have a significant negative impact on the firm’s future operating profitability.
Globalization and Workforce Composition in Indian Formal Manufacturing: New Evidence on Product Market Competition Channel

A variety of mechanisms linking globalization and margins of adjustments in the labor markets have been empirically tested in recent years. How globalization could affect the workforce composition of industries and thereby the quality of jobs, a key labor market indicator is much less studied and the econometric evidence is sparse. This study contributes to filling the gap by studying India’s formal manufacturing sector that experienced deep trade and industrial reforms since the 1990s. Industry-level panel data are analyzed to establish the indirect link between product market structure (concentration) and workforce composition of firms (usage of contract workers). We explicitly measure changes in market concentration using a newly constructed trade-adjusted concentration ratio, profitability (price-cost mark-up), and workforce composition (usage of contract workers) to show how the effect of globalization is mediated indirectly through the product market structure. Our sample includes 46 three-digit formal manufacturing industries spanning from 1998 to 2014. The findings provide significant evidence that Indian manufacturing firms responded to globalization by hiring relatively more contract workers a key margin of labor market flexibility. This finding underlines the importance of understanding the indirect ways in which globalization could affect labor market conditions and workers' welfare in developing countries.