Miracle-dz/UniFAR-FTUs huggingface dataset:
Biases in Decomposing Holding Period Portfolio Returns

A growing number of studies in finance decompose multiperiod portfolio returns into series of single period returns, using these to test asset pricing models or market efficiency or to evaluate the returns to investment strategies such as those based on momentum and value-growth. We provide a formal analysis of the decomposition method. Crucially, we argue and present empirical evidence that some methods researchers use involve portfolios that nobody would seriously consider ex ante, that transactions costs associated with such portfolios make them poor investment vehicles, and that they can lead to spurious statistical inferences.
Fast or Slow? Decision Making Styles in Small Family and Nonfamily Firms

The purpose of this study is to explore differences in the decision making styles between family and nonfamily firms, while assessing how family participation relates to the use of decision making styles in family firms. The empirical evidence is provided by a sample of 155 firms, located in the Autonomous Region of the Azores, Portugal, 82 family-controlled and 73 nonfamily-controlled firms. Results suggest that there are no differences in the use of rational decision making between family and nonfamily firms. However, nonfamily firms show higher levels of experiential decision making than family firms. Results also show that family participation plays a key role in guiding the decisional process, by promoting the use experiential decisions and inhibiting the adoption of a rational decision making style in family firms. From an applied perspective, assessing the influence of family participation in the adoption of a decisional style is potentially valuable for practitioners as well as for owners and managers. Providing them with clues that may help them better understand the basis of their decisions which can benefit their relations with other family members, as with customers, partners and suppliers that play a key role in the firm’s growth, profitability and adaptability. This study responds to a gap in the literature, by exploring the use of experiential versus rational decision making styles in small family and nonfamily firms. This study also contributes to the understanding of the decision making within family firms, by assessing the role of family participation in the decisional process.
Interest Rates, Financial Constraints, and Dynamics of Corporate Cash Holdings

This paper provides new evidence on how interest rates are linked to corporate cash policy in the presence of financial frictions. Using both time-series and firm-level data for US public and private manufacturing firms, we find a negative correlation between cash holdings and the interest rates for large/unconstrained firms. We find no evidence of such a relation for small/constrained firms. Our results can help reconcile the contradictory findings of previous studies and suggest that financial constraints play an important role in the adjustment of cash to changes in interest rates. We introduce a simple model in which firms differ in their cost function of external finance, where the constrained firms' highly curved cost function drives a steeper cash demand, leading to their lower cash-interest rate sensitivity.
Banking Market Development and Spillovers to Stock Market Liquidity

We exploit the staggered removal of a geography-based market friction—the adoption of interstate banking deregulation—to investigate whether banking market development spills over to the functioning of the equity market, measured as stock market liquidity. Interstate banking deregulation prompted lending by large, sophisticated, out-of-state banks, potentially altering equity traders’ costs of screening and monitoring borrowers, gathering funds, and/or expectations about economic growth. We find that stock market liquidity increases following banking deregulation, especially for borrowers characterized by poorer information environments ex ante. Overall, our findings suggest that banking development fosters the well-functioning of equity markets.
Managing Climate Change Risks: Sea Level Rise and Mergers and Acquisitions

Using a large sample over the period 1986 to 2017, we show that companies with higher exposure to climate change risk induced by sea-level rise (SLR) tend to acquire firms that are unlikely to be directly affected by SLR. We find that acquirers with higher SLR exposure experience significantly higher announcement-period abnormal stock returns. Post-merger, analyst forecasts become more accurate and environmental-related ESG score improves.
Is Diversification a Job Safety Net for Sell-Side Analysts?

We study sell-side analysts’ motives to diversify their portfolios across industries. Despite the negative association between diversification and accuracy, over 60% of analysts cover multiple industries. We argue that analysts’ choice to diversify is rooted in concerns about future job security. We find that more diversified analysts are less likely to experience job turnover and leave the profession but are not more likely to advance their careers. For experienced and all-star analysts, diversification does not improve career outcomes. We conclude that industry diversification is a safety mechanism for inexperienced and unranked analysts who are concerned about job security.
Auditor Independence

The concept and notion of auditor independence has been of key importance to the audit profession, and to the variety of stakeholders who rely upon the work of auditors, for more than one hundred and fifty years. This contribution seeks to bring forward a number of the issues which underpin the concept together with a brief review both of recent regulatory developments and empirical evidence which seeks to consider whether auditors are in fact independent in practice. <br><br>At one level the economic dependence of auditors on clients on whose financial statements they are providing an opinion suggests a prima facie lack of independence. Beyond this however there are perhaps wider and more subtle issues as to the manner in which auditors obtain, collate and evaluate the information which they rely upon to come to their opinion – sometimes termed epistemological independence – and, to an extent interlinked, the range and variety of behavioural, cultural and judgemental biases which may act to impact on that opinion. <br><br>There are however a range of factors which act to constrain auditors from behaving in a non-independent manner. These include the professional training of auditors, the significant adverse economic out-turns which may result from the provision of an inappropriate audit opinion, and the range of regulatory review and indeed sanctions – including those relating to corporate governance – which seek to ensure that auditors do carry out their work and make their judgements in an independent manner. <br><br>The nature of regulatory and governance change at both national and supra-national levels in recent years is reviewed briefly as is the quite extensive, albeit rather mixed, empirical evidence as to the nature of auditor independence. This empirical evidence focuses on both stakeholder perceptions and also attempts to link aspects of independence with both client reporting behaviour and actual auditor judgements. The reader is directed to references which allow this literature to be explored in greater depth.
Doing Well by Doing Good? Evidence From Luxury Brands’ Social Responsibility Disclosure and Their Financial Performance

Noting the sparse literature on the corporate social responsibility (CSR) commitments of luxury brands, we focus on the constituents of the S&amp;P Global Luxury Index and their non-luxury peers to examine the impact of CSR disclosure on firms’ financial performance. We find that both luxury and non-luxury firms’ accounting performance improves when their CSR disclosure is moderate but worsens if such CSR disclosure is in the extreme. On the other hand, the effect of CSR disclosure on firms’ market performance is either insignificant or negative. These patterns are more pronounced for non-luxury firms than for luxury firms. By highlighting the different impacts of CSR disclosure (reporting or not reporting) and the disclosure level (how much to report) on luxury brands’ performance, this study enriches the understanding on how luxury firms’ fundamental attributes impact their corporate decisions for CSR commitments and disclosure. The results shed new light on the interplay of CSR disclosure, responsible investing, and luxury brand management.
Two Strategies for Selling IPOs: A Pre and Post IPO Bubble Analysis

This paper provides an economic model resulting in two distinct marketing strategies available to investment bankers. First, we hypothesize that an increased selling effort by brokers is used most effectively when the investment clientele is uninformed. Second, adjusting the offer price of the issue is hypothesized to be employed primarily in large IPOs with a clientele of sophisticated investors, consistent with Shiller’s Impresario Hypothesis. Our pre-IPO bubble (1981-1996) empirical results yield evidence supporting both selling mechanisms. Under-demanded small IPO issues are ‘pushed’ by the brokers, while some under-demanded large IPO issues instead increase the offer price, with large first-day turnover characteristics of flipping. Both types of issues experience large and significant negative long-term returns, as share prices eventually return to the equilibrium price. For the post-IPO bubble period (1997-2017), the Impresario Hypothesis is empirically supported, but the push strategy is not, indicating a partial shift in selling mechanisms post bubble.
The Equity Risk Premium in January 2007: Evidence from the Global Cfo Outlook Survey

We analyze the results of the most recent survey of U.S. Chief Financial Officers (CFOs) which looks ahead to the first quarter of 2007 and beyond. We present expectations of the equity risk premium measured over a 10-year horizon relative to a 10-year U.S. Treasury bond. This multi-year survey has been conducted every quarter from June 2000 to November 2006. Each quarter the survey also provides measures of cross-sectional disagreement about the risk premium, skewness, and a measure of individual uncertainty. The individual uncertainty is deduced from the 80% confidence interval that each respondent provides for his or her risk premium assessment. We also present evidence on the determinants of the long-run risk premium. Our analysis suggests there is a positive correlation between the ex ante risk premium and real interest rates as reflected in Treasury Inflation Indexed Notes. The level of the risk premium also appears to track market volatility as reflected in the VIX index.
An Investigation of the Side Effects of High Performance Goal Setting: Target Difficulty and Unethical Pro-Organizational Behavior

Corporate scandals have become apparent. One of the causes is a high performance goal. The difficult but achievable goals have been considered useful in achieving high performance. However, high goals also have the negative effect of causing employees to behave unethically. In this study, we focus on the unethical behaviors that employees take for the benefit of the organization. Specifically, we examining the impact of target difficulty on employees’ willingness to engaging in unethical pro-organizational behavior (UPB). Results of analysis using data collected by online survey, it was found that the employees’ willingness to engage in UPB increase as the target difficulty level increases, but when it exceeds a certain point, their willingness to engage in UPB would start to decrease.
Glass transition in single poly(ethylene oxide) chain: A molecular dynamics simulation study

Local dynamics of single poly(ethylene oxide) chain in various environments (bulk, film, and isolated systems) has been characterized by the reorientation functions of various backbone bond vectors. Within any observation time, the variations of these reorientation functions with the temperature can be well described by the Kohlrausch−Williams−Watts (KWW) like equation, in which the fitted temperature parameter is identified as the glass transition temperature (Tg). The so-obtained Tg for that polymer faithfully reveals the effects of the observation time, chain flexibility and vector range on the local dynamics. Furthermore, it is found that the KWW like relation is also applicable to the temperature-dependence of the fraction of frozen atoms or torsions defined by the trajectory radii of gyration or the conformational transitions. Consequently, different motions lead to different values of Tg for the same system. Despite all, the consistent trend can be yielded, namely, Tg (bulk) > Tg (film) > Tg (isolated), which captures the effects of free surfaces on enhanced dynamics. In addition, dynamics heterogeneity in the systems can be quantitatively revealed. The newly proposed method holds a bright promise to predict the Tg values of complex polymers especially for comparisons. © 2016 Wiley Periodicals, Inc. J. Polym. Sci., Part B: Polym. Phys. 2016
Fear and Risk: Do Visceral Factors Affect Risk Taking?

We provide empirical evidence that visceral factors affect financial risk taking by showing that exposure to mass shootings alters mutual fund managers' risk taking decisions. Funds that are exposed to mass shootings subsequently decrease risk relative to their peers. The effect that we document is temporary, lasting approximately one quarter before reverting to normal levels and is strongest among managers with demographics shown to express greater fear from mass shootings. Together with the literature on laboratory studies that show that market downturns induce fear, our findings suggest that fear could exacerbate variation in risk taking, generating the highly volatile countercyclical risk premiums shown to exist in markets.
Financial heterogeneity and the dynamics of credit rationing in Japan

ABSTRACT A perceptual gap between banks and firms exists in Japan, preventing the credit channel of monetary policy. Banks believe that bankable customers are scarce, while firms believe that banks do not issue loans without collateral or guarantees. To explain this gap, I focus on the dispersion in the degree of financial constraints across listed Japanese firms from FY1991 to FY2019. I construct a firm-specific and time-varying measure of financial constraints through the structural estimation, and investigate its distribution over time. The results reveal a right-skewed distribution for the index of financial constraints, indicating that many firms face minor financial constraints, while a few face severe financial constraints. The spread between the 75th and 25th percentiles of the index of financial constraints increased after the bubble burst, indicating that Japan’s financial heterogeneity has recently become outstanding. Finally, decomposing financial heterogeneity into within – and between-industry effects shows that the observed financial inequality is due to the increase in inequality among firms within narrowly defined industries.
COVID-19 Pandemic Effects in Global Stock Markets : Application of PMFG & Threshold Network

The recent outbreak of global COVID-19 infections has already accounted for thousands of deaths, sealed many businesses, and urged millions of people to be unemployed, pushing the global financial markets to the edge of another gigantic crisis. This study employs cross-correlation-based absolute thresholds, and the Planner Maximally Filtered Graph (PMFG) approaches to analyze the effects of the global pandemic on the major stock indices worldwide. Our results explore more significant correlations and interconnectedness among the indices during the COVID-19 period than in the Pre-COVID period. Majority indices are found to be clustered based on geographic proximity rather than geodesic distance. When comparing the effectiveness of the threshold and PMFG approaches to detect the critical and influential stock indices more accurately, the PMFG finds better results without the dismissal of any nodes. The findings of our paper can be helpful for cross-country investment decisions and market regulations to prevent market contagion during the pandemic time.
Literature Review on the Relationship between Board Structure and Firm Performance

Corporate governance plays a significant role in eliminating agency costs. Corporate boards have the main role of monitoring the management; they help in aligning the interests of principals and agents. Boards are responsible for care and diligence that brings financial control, so that profitability can be ensured in the corporate firms. This paper focuses on reviewing the literature on board structure extensively. This paper reviews many aspects of board structure, i.e. board size, board meeting frequency, board independence, board ownership and composition, board education, audit committee, and so on. Further, this paper furnishes the type of board structure that will contribute towards increasing firm performance, thereby helping in mitigating agency costs. This research study uses a descriptive research design. Random sampling is used while selecting different kinds of literature review of board structure. This study takes the 1991-2019 time period for reviewing of literature. The period is selected based on convenience sampling. The results depict that reasonable frequency of board meetings, the board size, independence of directors, well-educated board members, audit committee, board composition, and ownership make a positive impact on firm performance, thereby reducing agency costs. <br>
Structural Remedies in Network Industries: An Assessment of Slot Divestitures in the American Airlines/US Airways Merger

Asset divestitures are often negotiated to alleviate anticompetitive concerns created by horizontal mergers. I develop a structural model to evaluate the effectiveness of alternative slot divestiture schemes in the US airline industry, focusing on the divestiture of slots at Ronald Reagan Washington National Airport (DCA), which the government required as a condition of the American/US Airways merger. Departing from the existing literature, my model accounts for how the number of slots allocated to a route segment affects carrier costs, how passengers going to many different destinations may use the same segments, and how carriers choose to allocate slots to segments. I use counterfactuals to show that slot divestitures can result in the re-allocation of surplus between consumers; to estimate the proportion of slots that the merged American would have needed to divest to maximize total welfare; and, to evaluate the effects of allocating divested slots to different types of carriers. I find that the proposed divestiture raised consumer surplus significantly ($112M per year) compared to approving the merger without divestiture, but that it re-allocated surplus between consumers in different markets. I also find that the policy of only allowing the slots to be divested to low-cost carriers raised consumer surplus relative to the policy of only allowing the slots to be divested to legacy carriers.
Stock Price Movement Cross-Predictability in Supply Chain Networks

In today’s interconnected business world, firms are part of a much larger interconnected supply chain network. Individual firms are not working in isolation but rather depend on, build, and leverage the connected nature of the supply chain network. In fact, an individual firm’s performance measures, such as stock return, can be impacted by other firms in the supply chain network. In this paper, we leverage structure and connections of firms in the supply chain network as well as each firms’ performance to predict a firm’s stock price movement. Using data from real-world supply chain connections, we build the supply chain network of firms in S&amp;P500 and utilize this network to predict a firm’s stock movements by leveraging the performance of its network neighbors. We propose four different approaches to identify network neighbors for a focal firm based on its business partners, its network community, and its role in the supply chain network. Once neighbors of the focal firm are identified, we aggregate their performance with a set of network-based feature representations we developed. Experimental results show that our approach significantly improves the performance of stock movement prediction compared to traditional features proposed in the finance literature. We are also the first to show that the performance of a focal firm is associated not only with its business partners, but also with similar firms located farther away in the network. We then analyze the contribution of upstream suppliers and downstream customers of a firm to the prediction of its stock price movement. Managerial insights from our results can improve investment decision making, as well as help supply chain managers to proactively predict risks in the supply chain network rather than simply reacting to them.
Big Data for Security: A Cultural Analysis

Big Data technology is said to hold great promise for improved efficiency and effectiveness for law enforcement and security intelligence agencies. This article aims to develop a cultural analysis of the potential impact of Big Data on the production of national and international security. Building on a Bourdesian framework for analysing police and new technologies, the article draws on empirical data from an Australian study to examine how security agents made sense of the capability and value of Big Data and developed technological frames that envisaged how this new technology could enhance or change their practices. The analysis demonstrates the importance of understanding the habitus of security agents in negotiating technological change in the field of security production.
Stroke of a Pen: Investment and Stock Returns under Energy Policy Uncertainty

Energy policy uncertainty - as measured by uncertainty about a U.S. President signing an energy related executive order in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry a negative price of risk. I propose and test a q-theory explanation in which firms invest in energy-efficient capital when facing energy policy uncertainty. This uncertainty amplifies differences in investment between growth and value companies as the benefits of substituting energy for capital increase with growth opportunities. As the benefits to invest increase, aggregate current consumption decreases relative to future consumption, creating time varying expected variation in aggregate market returns and consumption growth. Without an investment factor, uncertainty betas explain cross-sectional variation in stock returns across portfolios that differ in their growth opportunities. However, since investment reacts to uncertainty endogenously, an asset pricing model that accounts for an investment factor absorbs the cross-sectional differences in expected returns explained by this policy uncertainty. My findings suggest that uncertainty about future energy policies in the last four decades can explain firms' adoption of energy-efficient capital.