Miracle-dz/UniFAR-FTUs huggingface dataset:
Statistical Arbitrage with Uncertain Fat Tails

I develop a model of statistical arbitrage trading in an environment with "fat-tailed" information. If risk-neutral arbitrageurs are uncertain about the variance of fat-tail shocks and if they implement max-min robust optimization, they will choose to ignore a wide range of pricing errors. Although model risk hinders their willingness to trade, arbitrageurs can capture the most pro table opportunities because they follow a linear momentum strategy beyond the inaction zone. This is equivalent to a machine-learning algorithm called LASSO. Arbitrageurs can also amass market power due to conservative trading under this strategy. Their uncoordinated exercise of robust control facilitates tacit collusion, protecting their pro ts from being competed away even if their number goes to in infinity. In an extended model where an insider strategically interacts with those arbitrageurs, the insider can induce them to trade too aggressively, giving herself a reversal trading opportunity. Doing so distorts price informativeness and threatens market stability.
The European Employment Strategy: Assessing the Status Quo

The European Employment Strategy (EES) is the European Union’s main instrument to co-ordinate Member States’ reform efforts in the area of labour market and social policies. Launched in 1997, it has undergone various changes, both in its governance and its policy orientation. This paper offers an overview of the EES’s origins, main functions and evolution. It also critically reflects on its development and closes with a succinct presentation and assessment of the EES in the context of the Europe 2020 Strategy that has replaced the expired Lisbon Strategy.
Media Coverage and the Cross-Section of Stock Returns: Chinese Evidence

Using hand-collected news headlines for a large sample of listed firms in China over a period of 2000–2015, we find that no-media coverage stocks earns 55 basis points a month higher than stocks that are covered by the media. This result is robust after controlling for common risk factors and is not driven by short-run return reversals. Further analysis provide mixed evidence as to whether the no-media return premium is due to illiquidity hypothesis or investor recognition (or lack thereof) hypothesis. The results in this study should be of interest to both investors and regulators on drivers of stock returns.
2008 Crisis and Effects of Monetary Expansions on Exchange Rate Determination: The Case of Turkey

With the recent economic crisis of 2008, global liquidity increased tremendously which in return, gave rise to the concerns regarding the “Currency Wars” due to consecutive monetary expansions conducted by both advanced and emerging countries. This paper, on the one hand presents the related literature and regarding theories; on the other hand, investigates the dynamics of exchange rate determination through a monetary perspective and sets forth a combined framework of Keynesian Liquidity Preference approach and PPP model that explains the exchange rate determination in a statistically significant way. Finally, macroeconomic statistics of Turkey such as inflation rate, percentage change in monetary base M2 and GDP growth that acknowledge the results of regression and VAR analyses, are presented.
Financial Liberalization and Financial Stability

This paper examines the effect of financial liberalization on the financial stability of an economy using changes in sovereign credit ratings as the measure of financial stability. Using a panel dataset from 1970 to 2014, comprising of all the countries rated by Standard and Poor’s, Moody’s or Fitch, we employ system generalized method of moment approach to estimate the model. We reject the hypothesis that financial stability is independent of financial liberalization. Our results indicate a positive and significant impact of financial liberalization on financial stability. Furthermore, we find that sovereign ratings tend to be stable. Our results remain robust to a number of modifications in sample composition and changes in the period of analysis.
Is There No 'I' in Team? Strategic Effects in Multi-Battle Team Competition

Individuals may respond differently to their own past performance than to their teammates’ performance in a multi-battle competition. Using field data from professional squash team tournaments, we show that while previous individual success begets more success, teammates’ past performance has little impact on players’ immediate and overall battle performance. It could be argued that players follow the heuristic of “doing their best” for their teams while at the same time succumbing to a psychological momentum effect, which suggests that responses to their own previous performance depend on the full history of previous battle outcomes. Our analysis, however, cannot reject that players are motivated by a strategic momentum effect, which predicts that responses only depend on the current state of battle outcomes irrespective of its precise realization in history.
Comparative Performance of Three Brands of Lightweight Global Positioning System Collars

Abstract Recent miniaturization and weight reductions of Global Positioning System (GPS) collars have opened up deployment opportunities on a new array of terrestrial animal species, but the performance of lightweight (<90 g) GPS collars has not been evaluated. I examined the success of 42 GPS collars from 3 manufacturers (Televilt/TVP Positioning, AB, Lindesburg, Sweden; Sirtrack Ltd., Havelock North, New Zealand; H.A.B.I.T [HABIT] Research Ltd., Victoria, BC, Canada) in stationary, open-sky conditions and during deployments on brushtail possums (Trichosurus vulpecula), a nocturnal arboreal marsupial. I assessed performance of these collars in terms of technical malfunctions, fix-success rates, battery longevity, and aspects of location quality. Technical malfunctions occurred in >50% of HABIT and Televilt collars, whereas all Sirtrack collars operated normally. Fix-success rates for all brands were significantly higher during stationary tests than when deployed on brushtail possums. HABIT and Televilt brands functioned poorly in field conditions, with success rates of 16.2% and 2.1%, respectively. Sirtrack collars had the highest fix rate when deployed (64.8%). I modified several HABIT collars by changing the GPS antenna location, with a resultant substantial increase in field fix success (92.6%). Most collars ceased working before they reached 50% of their manufacturer-estimated life expectancy. Suboptimal placement of GPS antenna, combined with short satellite acquisition times and long fix intervals, were a likely cause of low fix-success rates and premature battery failures. Researchers wanting to employ lightweight GPS collars must be aware of current limitations and should carefully consider prospects of low fix rates and limited battery lives before deciding whether these units are capable of meeting study objectives.
Bipolaris halepense: a new species from Sorghum halepense (Johnsongrass).

Bipolaris halepense sp. nov. from diseased leaves of johnsongrass (Sorghum halepense) in North Carolina is described. On leaves of susceptible johnsongrass plants, B. halepense induces ovate lesions 5-10 x 2-4 mm with straw-colored centers and dark-pigmented margins. Conidia of B. halepense are larger than those of B. sorghicola, which is a common foliar pathogen of Sorghum spp. , and B. halepense has a much broader host range than B. sorghicola. In addition, the lesions of B. halepense on leaves of johnsongrass generally lack the zonate pattern typical of B. sorghicola lesions on johnsongrass. Morphologically, conidia of B. halepense most resemble those of B. maydis, a foliar pathogen of corn (Zea mays), but B. halepense is only weakly pathogenic to corn and did not mate with fertile isolates of either mating type of B. maydis. Bipolaris halepense induced lesions on numerous monocot and dicot plants in greenhouse tests, but failed to sporulate on detached leaves of dicots tested, or several of the monocots. Bipolaris halepense sporulated in lesions on detached leaves of johnsongrass with 24 h incubation at high relative humidity and on detached leaves of sorghum (Sorghum vulgare) and sundangrass (S. sudanense) within 48 h.
Inheritance of the resistance to compression property of Australian Merino wool and its genetic correlation with follicle curvature and various wool and body characters

Resistance to compression is primarily a measure of the crimp structure of individual fibres. Fibre crimp, as distinct from staple crimp, has been shown to be an important aspect of wool quality with requirements depending on end use and processing conditions. A precise definition of its importance under various conditions must await further evidence. The consequences of these findings for Merino breeders depend upon the heritability of resistance to compression and its genetic and phenotypic correlation with other important wool characters. Estimates of such parameters are presented and used to formulate breeding plans for the Australian Merino. Follicle curvature was included among the characters studied because it was hypothesized that it would be as good a measure of fibre crimp as is resistance to compression. The results support this hypothesis. The most important conclusion is that, if textile requirements dictate that resistance to compression as well as fibre diameter must be controlled during Merino breeding, progress in clean wool weight will be severely restricted.
Diet Niche Relationships among Early Life Stages of Fish in German Estuaries.

Diet composition, selectivity, food niche width and food niche overlap of early life stages of fishes were studied in the Barther Bodden system and in the Weser and Elbe estuaries during spring and summer from 1987 to 1991 and from 1993 to 1994. Larvae of perch (Perca fluviatilis) and roach (Rutilus rutilus) dominated in the Barther Bodden. Herring (Clupea harengus) and perch were the dominant species in the Barther Strom. Smelt (Osmerus eperlanus) was the most common species in the Elbe estuary. Sprat (Sprattus sprattus) was of most importance in the Weser estuary. The dominant prey of fish larvae were copepodids, nauplii and eggs of Eurytemora afinis. The highest food niche width was observed for nine-spined stickleback (Pungitius pungitius), ruffe (Gymnocephalus cernuus), three-spined stickleback (Gasterosteus aculeatus) and perch in the Barther Bodden. Negative selectivity indices indicated that populations of rotifers were scarcely influenced by predation by fish larvae. In contrast, E. affinis was preferred by early life stages of fish. Positive relationships were estimated between maximum prey lengths and predator lengths of different fish species. Key species with regard to niche overlap were nine-spined stickleback, roach, three-spined stickleback and perch in the Barther Bodden, perch and herring in the Barther Strom, herring and three-spined stickleback in the Elbe estuary, and sprat and common goby (Pomatoschisrus microps) in the Weser estuary. High geographical overlap between fish species occurred in the Elbe estuary and Barther Bodden, whereas high diet overlap was estimated for both the Weser estuary and Barther Strom.
Excess heterozygosity and scarce genetic differentiation in the populations of Phoenix dactylifera L.: human impact or ecological determinants

Extensive research has been conducted on the characterization of hundreds of date palm (Phoenix dactylifera L.) cultivars worldwide. However, the population genetics of date palms has never been studied. In this study, we collected 200 individuals from 19 populations of different geographical locations in Sudan. The collection sites were grouped according to the type of dates (date palm fruits) that dominates in the area. Ten microsatellite markers were used to investigate the genetic diversity within and among populations and the correlation between the genetic and geographical distances. The tested microsatellite markers showed a high level of polymorphism. A total of 261 alleles were detected at the ten loci. The overall mean value of fixation indices equalled − 0.163, which shows the presence of excess heterozygosity. However, the χ2 tests conducted for every locus in each population indicated no significant deviation from the Hardy–Weinberg equilibrium. The analyses of molecular variance exhibited that about 95% of the total genetic variation existed within populations, while significant differentiation within the type groups could be detected. Although significant isolation by distance (r2 = 0.552, P < 0.05) was detected by a Mantel test, it seems that the spatial effect has become complicated as a result from the exchange and introduction of different kinds of plant materials by date palm growers and traders, as well as seed dispersal. This complexity was clearly apparent in the weak clustering relationships among most of the tested populations.
Sensory evaluation of the odour of a sunflower oil emulsion throughout oxidation

Oxidation of unsaturated fatty acids is responsible for off-flavours, often described as rancid flavours. This study was aimed at describing the evolution of the odour of a sunflower oil-in-water emulsion during oxidation at 50 °C in the dark. Appearance of an odour and occurrence of oxidation were first tested for at short-time aging (0–4 h) by the triangle test and measurements of oxygen consumption, respectively. The odour of the emulsion oxidised for up to 240 h was then characterised by sensory profile, while volatiles issued from lipid oxidation were analysed in the headspace by SPME. From 1 h of aging, while oxygen consumption remained weak, a significant change of the odour was detected by the panel. Up to 21 volatile compounds were identified in the headspace of long-time-oxidised emulsions. Beyond the rancid attribute, seven attributes were chosen to describe the odour of oxidised emulsions, four of which referring to solutions of a single volatile oxidation compound. The contribution of the fresh oil attribute, initially dominant, was progressively overtaken from 6 to 24 h of aging by the deep-fried attribute, which later declined in favour of the painty attribute, predominant after 100 h. Evolution of intensity scores and contribution to odour profiles of attributes could not be easily related to one reference volatile compound or another, confirming the complex relationship between the generated volatile compounds and the perceived odour.
The Social Cost of Carbon in a Non-Cooperative World

The recent literature has derived simple formulas for the Social Cost of Carbon (SCC) that are easy to interpret, but that only apply to the global economy. This is an issue since international transfers to sustain the global optimum with the same carbon price for all countries are still lacking after thirty years of climate summits. The main research objective of our paper is to obtain tractable analytical and interpretable formulas for the SCC, the optimal carbon taxes, and the optimal consumption-abatement strategies in a non-cooperative world. We find that the optimal taxes are proportional to national GDP and can be decomposed into a domestic and a foreign component where the latter stems from trade. Besides, heterogeneity in country-specific damage functions together with the size of international trade can significantly affect the regional distribution of the SCC.
Public Services, Real Estate Taxes and Fees, and Housing Prices in China: A Study Based on Chinese-Style Decentralization

In this research, we extend the work of Stadelmann and Billon (2012) by incorporating Chinese-style decentralization variables. We do this to explore the characteristics of tax capitalization and the capitalization of public services under the city governances in China. As an indicator of Chinese-style decentralization, the city-level administrative hierarchy leads to city-level differentiation of fiscal resources and public services. We argue that this further causes a huge disparity in housing prices among China’s 35 major cities. Meanwhile, the land transferring fee is a factor driving the increase in urban housing prices. The main contributions of this research are fourfold. One, we provide a reasonable explanation for the structural intercity housing price differences in China’s 35 major cities. Two, we use the method of principal component analysis (PCA) to calculate the 35 major cities’ public services indexes. Three, we use measures of land-related taxes and land transferring fees to check the effects of tax capitalization. Four, we use the number of city-level government officials at the deputy bureau chief and above levels for the first time as an instrumental variable and an indicator for Chinese-style city-level decentralization to help mitigate the endogeneity in the panel data analysis.
Responsible Use of Crop Protection Products and Nigeria’s Growth Enhancement Support Scheme

We examine the impact of the federal government of Nigeria’s (FGN) growth enhancement support scheme (GESS) on responsible use of crop protection products (CPPs) in rural Nigeria. Results from the use of logistic regressions show that GESS significantly impact on farmers’ access to CPPs, but does not significantly impact on farmers’ knowledge and skill of CPP application, and in several cases the misuse has led to deterioration of soil fertility. Findings suggests that embracing information on recommended CPPs, dose rates, dilutions, timing, frequency of applications and precautions should form the foundation of GESS activity attributable to CPPs in sub-Saharan Africa.
Share Price Response to Earnings Disclosures in Emerging Economies: Malaysia and Mexico

This study aims to evaluate the relevance and usefulness of accounting information, specifically earnings disclosures, as the key determinant for stock price changes. The main objective is to investigate whether ERC behaviour could explain more fully the stock price changes, as to the reason why the stock price change is not equal to the amount of announced earnings. The study reports significant findings from applying portfolio method, which shows major stock price reactions and very large earnings response coefficients to accounting earnings disclosed to the stock exchange markets of two major emerging economies, Malaysia and Mexico, for the period 2001-2014. The abnormal return to disclosure events are significantly positive when earnings increases and negative when earnings decreases. Two measures of abnormal returns are regressed against the size of the announced earnings. The first regression uses measures from individual events. The second regression uses a new measure; that is, from portfolios made out of all observations sorted by size of earnings into ten portfolios for each country and combination of countries. The portfolio method used was aimed at controlling possible idiosyncratic-errors-in-variables problem using individual event measures. The results using individual-event measures resulted in reasonable-size earnings response coefficients with high R2 explanatory power, a little higher than those reported in prior studies on other countries. Meanwhile, the portfolio method led to much bigger size of earnings response coefficients that strongly support the value relevance accounting theory. This finding is new to this literature.
Behavioral Isolation, Test Designs, and Kaneshiro's Hypothesis

Studies of the planitibia group of the Hawaiian Drosophila inspired the controversial hypothesis that the direction of evolution can be inferred by examining the direction of asymmetrical behavioral reproductive isolation. One criticism of this hypothesis is based on the methods that were used to develop it: the sign and magnitude of the indexes of behavioral reproductive isolation may vary with the procedures employed to measure them. We evaluated this criticism by applying three common methods used for measuring behavioral reproductive isolation to the species D. heteroneura and D. silvestris. These are the species that were used in the original development of the behavioral isolation hypothesis. The methods were female choice, male choice, and multiple choice. We found a similar direction of asymmetry for all three testing methods in the pairing of D. silvestris and D. heteroneura. In contrast, the pairing between two populations of D. silvestris did not give a consistent direction of asymmetry. Thus, different methods for testing the direction of behavioral reproductive isolation give similar results at the interspecific level but are inconsistent at the intraspecific level.
Exact Algorithms for the Multinomial Counts: Maximum, Minimum, Range and Sums of the Largest Order Statistics

Starting from a neglected work by Rappeport (1968), we re-propose an exact algorithm to compute the distribution of the maximum of a multinomial random vector under the hypothesis of equiprobability. We then show how to compute the exact probabilities of the sum of the J largest order statistics of the vector, following the suggestions and correcting the errors in the same article. Finally, we introduce brand new ways of computing the exact probabilities of the multinomial minimum and of the multinomial range. The exact probabilities we derive can be used in all those situations in which the multinomial distribution plays an important role, from goodness-of-fit tests to the study of Poisson processes, with applications spanning from biostatistics to finance. For all algorithms, we provide Matlab codes and ready-to-use tables of critical values.
Do Board Characteristics Influence the Shareholders’ Assessment of Risk for Small and Large Firms?

This paper investigates the association between board characteristics and shareholders’ assessment of their exposure to economic and agency risks as reflected in the volatility of stock returns. Our hypotheses incorporate prior evidence that small and large firms have ‘dramatically’ different board structures, reflecting the firms’ different monitoring and advising needs. We hypothesise and find evidence that only the shareholders of well-established, large firms are able to generate positive net benefits, in the form of lower equity risk, from independent boards and well-connected independent directors with multiple directorships. We also find professional and formal industry degree qualifications on the board are associated with shareholders’ risk assessment for some small firms consistent with the focus of small firms on building growth and scale. While we find evidence that formal industry professional affiliations (weak evidence) and MBAs provide benefits for the shareholders of large firms, there is limited evidence that financial expertise on the board systematically influences shareholders’ risk assessments for small or large companies. The key conclusion from the evidence in this paper is that a ‘one size fits all’ approach to governance in relation to the board of directors may not meet the diverse needs of companies at different stages of economic development.
Do Internal Capital Markets in Business Groups Reduce Financial Constraints?

We develop a simple model of investment in business groups subject to moral hazard. Our model suggests that productivity and pledgeable income are the drivers of resources in the internal capital markets of these groups. This prediction can be use to explain on the grounds of efficiency some results that have been interpreted in the literature as evidence of "socialist" cross-subsidization in business groups. One important implication of our model is that group firms with strong financial conditions (high pledgeable income) tend to be favored by the internal capital market while group firms with weak financial conditions (low pledgeable income) tend to give support to it. This is in sharp contrast with the hypothesis that internal capital markets in business groups can overcome the failures of external finance markets. However, this doesn't mean that internal capital markets are detrimental to economy. Finally, we derive novel empirical implications from our model that can be object of future empirical works.