Miracle-dz/UniFAR-FTUs huggingface dataset:
On Taking a Skewed Risk More Than Once

This paper collects results on the repeated risk-taking of skewed risks. An extensive body of theoretical and experimental literature has shown that, in one-time decision situations, humans are skewness-seeking and dislike risks that feature unlikely but large losses (i.e., negatively skewed risks). We show that, contrary to intuition, the often-observed phenomenon of penny-picking—repeatedly taking negatively skewed risks—is not at odds with skewness-seeking, but, to the contrary, may even be caused by it. The skewness of the distribution that results from repeatedly taking a skewed risk depends in non-trivial ways on the risk-taking strategy and may even differ in sign from that of the individual risk. With sufficient time available, every risk—no matter how negatively skewed—can be gambled in such a way that, in total, skewness is positive. Because recent work has shown that skewness is decisive whether risk is taken, this result may be important for economics and finance on a fundamental level.
International Mergers and Acquisitions Laws, the Market for Corporate Control and Accounting Conservatism

Exploiting the staggered enactment of country-level mergers and acquisitions (M&amp;A) law as an exogenous increase in corporate takeover threat, this paper examines how a disciplinary market for corporate control affects accounting conservatism. Following M&amp;A law adoption, we find increased accounting conservatism, with more pronounced effects in countries with weak shareholder protection and in those experiencing larger growth in takeover activity. Further analysis reveals that elevated takeover threats increase conservatism through changes in capital structure and investment decisions as well as improvements in board monitoring. Our findings highlight the importance of the market for corporate control in shaping financial-reporting outcome.
Does Religiosity Affect Financing Activity? Evidence from Indonesia

This study examines the role of religiosity at province level in Indonesia on the financing activities in both Islamic and conventional banks. Covering the period from 2013-2018, this study uses five different measures of religiosity namely: Islamic school, hajj application, Islamic seminary school, Mosque, and certified halal products at province level. The results show that Islamic and conventional banks in stronger religiosity area provide more financing. However, the impact of religiosity is less pronounced for non-performing financing. The results are still qualitatively valid after taking into account the issues of omitted variables, i.e., un-observable beliefs, ideas, and attitude, and reverse causality between religiosity and total amount of financing at province level.
Product Selection in Online Marketplaces

A marketplace such as Amazon hosts a variety of products by third party sellers and acts as a first party or private label retailer. Assuming an advantage of Amazon in logistics and of sellers in marketing, we investigate whether entry by Amazon is excessive from the point of view of consumers (as through self-preferencing to win the Featured Offer position or promote its own products). With competitive sellers, entry may be either over-provided or under-provided, but the incentives of Amazon and consumers are correctly aligned for a family of power surplus functions (generating for instance linear, isoelastic and log-linear demands). Platform competition for customers reduces commissions and prices preserving the efficiency result. Market power by sellers increases (reduces) the incentives to retail private label (first party) products, and generates a bias toward under-provision of entry. We also study issues related to delivery fulfillment by Amazon, advertising and dynamic incentives to launch products on the platform.
International Cross-Listings and Subsequent Security-Market Choices: Evidence from ADRs

We study the link between the attributes of ADR-listed firms and their post-listing security-market choices. We find that developed market firms are more likely to issue equity and debt than their emerging market counterparts. Moreover, we find that large firms are more likely to issue debt and less likely to issue equity. When we examine locations where ADR firms raise their capital, we find that firms originating from countries where the protection of minority shareholders is weak are more likely to issue debt on their home markets and less likely to issue debt on international markets (excluding U.S. markets). Moreover, ADR firms originating from developed (emerging market) countries are more (less) likely to issue their equity on their domestic markets and less (more) likely to issue equity on international markets (excluding U.S. markets).
Momentum

There is substantial evidence that indicates that stocks that perform the best (worst) over a three to 12 month period tend to continue to perform well (poorly) over the subsequent three to 12 months. Up until recently, trading strategies that exploit this phenomenon were consistently profitable in the United States and in most developed markets. Similarly, stocks with high earnings momentum outperform stocks with low earnings momentum. This article reviews the momentum literature and discusses some of the explanations for this phenomenon.
Predicting Outcomes in a Sequence of Binary Events: Belief Updating and Gambler's Fallacy Reasoning

Abstract Beliefs like the Gambler's Fallacy and the Hot Hand have interested cognitive scientists, economists, and philosophers for centuries. We propose that these judgment patterns arise from the observer's mental models of the sequence‐generating mechanism, moderated by the strength of belief in an a priori base rate. In six behavioral experiments, participants observed one of three mechanisms generating sequences of eight binary events: a random mechanical device, an intentional goal‐directed actor, and a financial market. We systematically manipulated participants’ beliefs about the base rate probabilities at which different outcomes were generated by each mechanism. Participants judged 18 sequences of outcomes produced by a mechanism with either an unknown base rate, a specified distribution of three equiprobable base rates, or a precise, fixed base rate. Six target sequences ended in streaks of between two and seven identical outcomes. The most common predictions for subsequent events were best described as pragmatic belief updating, expressed as an increasingly strong expectation that a streak of identical signals would repeat as the length of that streak increased. The exception to this pattern was for sequences generated by a random mechanical device with a fixed base rate of . 50. Under this specific condition, participants exhibited a bias toward reversal of streaks, and this bias was larger when participants were asked to make a dichotomous choice versus a numerical probability rating. We review alternate accounts for the anomalous judgments of sequences and conclude with our favored interpretation that is based on Rabin's version of Tversky & Kahneman's Law of Small Numbers.
Multifactor Assets Pricing Model: A Review Based Study

Generous consideration has been pursued to the empirical testing of multi factor assets pricing models. However, literature provides mixed kind of evidences in the support of multi factor assets pricing model. This study reviews 20 research articles based on multi factor assets pricing model and examines 25 research papers based on the empirically testing of multi factor assets pricing model published during 2001 and 2018 to study the multi factor assets pricing model in the Indian context as well as foreign context. CAPM is a popular normative model used by researchers to explain the relationship between risk and expected return of a risky asset which was developed by Sharpe (1964) and Lintner (1965). This model takes only one risk factor which is the excess market portfolio return (Market premium). Because of poor performance of CAPM in explaining realized returns, the Fama and French three factor asset pricing model (1993) was developed. Fama and French (1993) documented the size effect and the value effect that were not included in the CAPM, generally known as CAPM anomalies. Mark M. Carhart (1997) developed the Carhart four factor model. It is an extension of the FF three factor model with one another factor i.e. momentum factor effect for asset pricing of stocks. In view of the limitations of the earlier three-factor model, Fama and French five-factor asset pricing model (2014) was developed. Fama and French (2014) came with profitability pattern and investment pattern in average stock return along with the market premium, size premium and value premium. This paper may be an expedient source of information to the academics, financial analyst and researchers to understand the asset pricing model.
Banks, Money, and the Zero Lower Bound on Deposit Rates

We study a New Keynesian model where banks create deposits through loans, subject to increasing marginal cost of lending. Banks do not intermediate commodity deposits between savers and borrowers, instead they offer a payment system that intermediates ledger-entry deposits between spenders and spenders. We discuss three implications. First, non-banks’ aggregate purchasing power consists not only of their income but also of new loans/deposits. Second, near the ZLB policy rate reductions compress spreads, and thereby reduce bank profitability, deposit creation and output. Third, near the ZLB Phillips curves are flatter because lower factor cost inflation is partly offset by inflationary credit rationing.
Empirical Examinations of the Black-Scholes Model and Merton Jump-Diffusion Model in the Chinese Options Market

Since the launch of 50 ETF index option in February 2015, its trading volume keeps increasing year by year. This reflects the strong potential of the Chinese option market. As there were few English research on the 50 ETF option, I was very interested in applying the Black-Scholes (BS) and Merton Jump-Diffusion (MJD) models to exam their performance and find out which model is better. Three questions are set to achieve the purpose. Q1: How is the performance of the BS model? Q2: How is the performance of MJD model? Q3: Does MJD model perform better than BS model? The theories of both models are explained from very basic blocks and the empirical data is collected from a reliable source, the "Choice" Financial Terminal from Eastmoney. The relative error and line plot are used to exam the performance of both models. We find that both models perform well in the Chinese options market, but MJD model is slightly better than BS model.
Collusion in Quality-Segmented Markets

This paper analyzes price collusion in a repeated game with two submarkets; a standard and a premium quality segment. Within this setting, we study four types of price-? xing agreement: (i) a segment-wide cartel in the premium submarket only, (ii) a segment-wide cartel in the standard submarket only, (iii) two segment-wide cartels, and (iv) an industry-wide cartel. We present a complete characterization of the collusive pricing equilibrium and examine the corresponding e¤ect on market shares and welfare. Partial cartels operating in a su¢ ciently large segment lose market share and the industry-wide cartel prefers to maintain market shares at pre-collusive levels. The impact on consumer and social welfare critically depends on the cost of producing quality. Moreover, given that there is a cartel, more collusion can be bene? cial for society as a whole.
Crystal structure of poly-[triaqua-(μ3-3,4,5,6-tetrafluoro-1,2-phthalato-κ4O:O′:O′′,O′′′) (2,3,4,5-tetrafluoro-benzoato-κ2O,O′) praseodymium(III)], C15H7F8O9Pr

Abstract C15H7F8O9Pr, monoclinic, P21/n (no. 14), a = 6.2167(3) Å, b = 9.7769(5) Å, c = 29.6562(15) Å, β = 93.2916(8)°, V = 1799.53 Å3, Z = 4, Rgt(F) = 0.0317, wRref(F2) = 0.0729, T = 293(2) K.
Automation, Research and Investment Policies in Firms

In our time automation, in combination with burgeoning fields such as Artificial Intelligence, has grown to be a significant factor, and with it the role of scientific and engineering knowledge in the working of firms has grown too. We present a model-based study of firms in which generation of new knowledge, and the application of accumulated knowledge are integral to business since these determine the range and scope of the firms' products, and also the efficiency of R&amp;D and the production process. In our model the firm is organized as two functionally separate stages in series. Stage 1's activity is R&amp;D which creates new concepts, methods and prototypes of products. Stage 2 deploys labor and capital, in the form of "machines'', in production, which transforms selected outputs of Stage 1 into marketable, profitable products. New knowledge is generated from dedicated research in Stage 1 as well as by Learning-by-Doing (LbD) in both stages. Knowledge is subject to obsolescence over time. The firm's investment policy determines the allocation of funds to each stage subject to a budget constraint, operations management controls the admission of the output of Stage 1 to Stage 2, and also the combination of labor and machines in Stage 2. We analyze the interaction of these decisions, and the dynamical evolution of the knowledge stock under two management strategies. The short-term-focused, myopic strategy takes the existing knowledge stock as given, and maximizes the immediate profit. The long-term-focused strategy takes into account the future benefits of generating new knowledge in the investment decision. We use commonly-used production functions to obtain nonlinear dynamical system models, which are analyzed. We show that for both strategies the system converges to a steady-state where the knowledge stock and investment allocation remain constant over time. In numerical studies we compare the system behavior for the two strategies, and characterize their dependencies on various factors, such as the strength of the LbD effect, return on knowledge stock, and the influence of knowledge in expanding the scope and range of the firm's products.
Banks as Liquidity Multipliers

We characterize the interaction between banks’ liquid assets purchases and deposit issuance decisions. Using global games, we derive a liquidity multiplier: the amount of deposits a bank can create when endowed with one additional unit of liquid asset to maintain a given level of liquidity risk. In our central theorem, we prove it is larger than unity. This entails that banks have a special role in enhancing liquidity provision, “multiplying” liquid assets into a larger quantity of deposits. Our theory has implications for banks’ balance sheet choices, the pricing of liquid securities, and the role of public liquidity provision.
The Positive Externalities of CEO Delta

We show that firms’ Delta incentives can predict the market performance of their industry peers. When a small group of firms (leader firms) experiences substantial growth in Delta incentives, industry peers experience positive abnormal returns and abnormal improvement in fundamentals despite having no significant change in Delta. Further, we provide evidence that the abnormal returns are induced by peer CEOs’ extra effort in response to the increasing competitive pressure caused by leader firms. To mitigate their competitive pressure and turnover threat, peer CEOs allocate their extra effort to increase the firms’ operating efficiency and product differentiation.
Perceived Equitability and Labor Participation

While the “relative Gini coefficient” is one of the common criteria for measuring inequality, people’s perception of inequality seems to go beyond this criterion. Hence, self-report of subjective well-being (SWB) is becoming the focus of studies in public policies to improve social welfare. Since such statistics are not currently available in Iran, we are seeking for the best possible measure that can reflect subjective inequality of individuals with existing data. Investigating this issue besides people’s reaction to feeling deprived sheds light on an important attitude of the society, and is useful in policy design. This is because as a result of feeling inequitable, some people may stop their economic participation, while others try to be constructive and increase their economic activity. In this regard, we first introduce a criterion for the representation of subjective inequality at the individual level, and investigate the results of measuring subjective inequality for nominal and real values, urban and rural areas, as well as by the gender groups. We then address the effect of this perceived inequality on the economic participation of individuals. Accordingly, we distinguish the effects of subjective inequality on economic participation by age groups in the range of 15 to 65 years. The results indicate that the subjective inequality among women is greater than men, and is increasing over the years under study. It also appears that the increase in perceived equitability has had its most destructive effect on the middle class, deciles 5-8, while lower deciles react constructively in subjective deprivation.
Should Monetary Policy Be Forward-Looking? Evidence From a Developing Economy

This paper has investigated the effectiveness of a forecast-based monetary policy for macroeconomic stabilization in a developing country, namely Pakistan. Using a simple New-Keynesian model and a forecast-augmented structural VAR (identified via three different strategies), we have studied the macroeconomic movements from 2009-2018 in the events of supply-side, demand-side, and monetary innovation shocks. We primarily conclude that a forecast-targeting policy demonstrates a superior stabilization performance than one which relies completely on the past information under all shock scenarios, and this advantage of the former over the latter primarily stems from its ability to better handle inflationary rather than real-output fluctuations.
Gender Board Composition and Tax Aggressiveness in Public Listed Companies

In this study, we consider whether the gender composition of the board of directors could have some relation with tax aggressiveness for a sample of 739 public listed companies resident in different countries for the period 2015-2019. Our fixed-effect model of panel data does not show any significant relation between female representation of the board of directors and tax aggressiveness.
Decomposing Cross-Asset Time Series Momentum

I decompose the expected return difference between cross-asset time series momentum and time series momentum into market timing and risk premium components, and show that market timing accounts for 71–79% of the difference. I thus show that two recent critiques of time series momentum do not apply to cross-asset time series momentum. Instead, the outperformance of cross-asset time series momentum is driven specifically by the strategy's ability to exploit cross-asset time series predictability in global bond and equity markets.
Does the Options Market Underreact to Firms'Left-Tail Risk?

We find that firms’ left-tail risk is a strong positive predictor of future bear spread returns, suggesting that the options market underreacts to firms’ left-tail risk and the downside protection provided by bear spreads is not adequately priced. The underreaction to firms' left-tail risk is stronger when the underlying stocks experience larger recent losses, are closer to their 52-week lows, and have higher information uncertainty. The options market's underreaction to firms’ left-tail risk mainly happens in high investor sentiment periods.
How Local Leadership Rotation Breaks State-Business Ties in China

Economic decentralization, while increasing regional autonomy in developing the economy, also increases the risk of government-business collusion and local capture. We argue that in authoritarian regimes, local leadership rotation mitigates collusion through breaking local government ties with business. We further propose that the nature of state-business ties is heterogeneous, with institutional government-business ties more stable, and personal government-business ties more easily broken. We test our theory in the context of local leadership turnovers and firm subsidies in China in the wake of the 2008 fiscal stimulus program. Using data from publicly listed firms, we find that new provincial governors, immediately after taking office, distribute significantly less subsidies to private enterprises. We also present suggestive evidence that governors have career incentives to distribute subsidies towards state-owned enterprises early in their tenure. Our findings illustrate that leadership rotation presents a partial solution to the problem of local capture in the absence of elections.
COVID-19 and the forward-looking stock-bond return relationship

ABSTRACT The COVID-19 pandemic has caused stock market crashes and collapse of economic activities in many countries. As a result, many investors changed their stock and bond market expectations. This study investigates whether the number of COVID-19 confirmed cases influences the forward-looking stock-bond correlations. We apply a quantile approach that is beneficial to explore non-linear relationships between the forward-looking stock-bond return correlations and the COVID-19 cases. The correlations are estimated using the DCC-GARCH model for 21 financial markets from three regions (North American, Asia-Pacific, and Europe). We present empirical evidence that there are heterogeneous responses across regions and countries. Specifically, the negative stock-bond correlations weaken as the number of COVID-19 cases in the regions of North America (the U.S. and Canada) and Asia-Pacific (Australia and Japan) increases. Our results suggest that the number of COVID-19 cases is not important. Investors sell risky stocks and buy safe Treasury bonds at the beginning of the pandemic, while they adjust their portfolios risk levels when they obtain more information. Our result also highlights that this pattern is not observed in European countries.
Corporate Life Cycle and Classification Shifting in Financial Statements: Evidence from Quoted Manufacturing Firms in Nigeria

The study investigated the relationship between corporate life cycle and classification shifting in the financial statements of quoted conglomerates in Nigeria. Using ex-post facto research design, the population of the study was drawn from quoted manufacturing firms on the Nigerian Stock Exchange (NSE). The study was delimited to manufacturing companies using purposive sampling method. The study relied on secondary data; obtained from annual financial reports and accounts of the selected companies. The data were analyzed using descriptive and inferential statistics. The hypotheses were tested using multiple regression techniques. The Dickinson’s (2011) approach was used to determine the life-cycle stage of a firm; while, the McVay (2006) model modified by Athanasakou, Strong, and Walker (2011) was used to calculate core earnings. The study finds a significant negative relationship between life cycle and unexpected core earnings; however, firm size was positive and significant. Thirdly, the cash flows had a non-significant negative relationship with unexpected core earnings. The study, therefore, recommends that capital market regulators should strengthen mechanisms aimed at monitoring the opportunistic behavior of managers. Auditors should be wary of a firm's life-cycle as this may provide an incentive for managers to engage in real earnings management. Cash flow information should be used by investors to gauge the liquidity and working capital posture of their firms because of its less subjective appeal to accrual earnings management.