Miracle-dz/UniFAR-FTUs huggingface dataset:
Conditional Volatility Models in Financial Markets and Its Application

Sudden and rapid changes in the economy leads to an increase in volatility. The fact that high volatility in financial markets brings along an increase in risk made it necessary to model it. Modeling volatility, which is accepted as a measure of risk, will benefit investors in their attitudes towards risk. The volatility of financial variables such as exchange rates, interest rates, and stock market indices is a measure of how far these variables deviate from their expected values. <br><br>ARCH-GARCH models, which are used in order to understand the dynamics of financial markets and to predict the changing volatility over time, have been expanded within the framework of some additional needs. Conditional volatility models are used extensively in modeling financial series. In general, ARCH models are models that relate the variance of error terms to the square of previous period error terms. The main feature of these models is that the variance of the error term in period t depends on the square of the error term in the period (t-1). In GARCH models, the error’s variance is not only associated with previous period errors but also with its own variance. The main feature of these models is that they allow varying variance of both autoregressive and moving average components. In order to model the volatility in financial time series, first it is necessary to test whether there is an ARCH effect in the model. If there is no ARCH effect in the model, the OLS estimation method can be used. However, if there is ARCH effect in error terms, the stage of estimating the variance model is started. Since the variance function is not linear, some iterative algorithms are used to maximize the likelihood function. In this study, conditional volatility models that used in modeling the sudden and rapid changes in financial markets are discussed within the framework of other models that have been introduced in recent years. Then, conditional volatility models are applied on real data and obtained results are discussed.
Does Short-Selling Amplify Price Declines or Align Stocks with Their Fundamental Values?

Critics of short-selling argue that short-sellers amplify price declines by targeting firms with falling prices in an unwarranted manner. Contrary to this viewpoint, we find that increases in short-interest for firms following a price decline are associated with measures of overpricing based on financial statement analysis. Our results extend to short-selling activity following market-wide declines. We also find evidence consistent with the profitability of short-selling following price declines being driven by valuation-based positions. Overall, our findings suggest short-sellers primarily undertake valuation-based strategies following price declines and have implications for regulators. Limiting short-selling following price declines is likely to impede efficient price discovery.
The Technology Acceptance Among Construction Project Managers in Nigeria: A Narrative Literature

Within the construction industry's global landscape, innovative technologies for construction project management are continually emerging, yet the rate of failed projects within the Nigerian construction sector due to poor coordination of construction tasks is on the rise. An unanswered question in the literature remains as to why construction project managers in Nigeria remain slow to adopt new technologies for improving decision-making processes and project success rates. This narrative literature review, being an extract of a broader qualitative single case study with embedded units on the perceptions of construction project managers in Nigeria regarding their barriers to technology adoption framed by two conceptual models: Usman and Said’s model of factors contributing to information and communication technology adoption in Nigerian construction firms and Waziri, Mustapha, and Idris’ model of factors influencing IT adoption in Nigerian construction organizations. This literature review supports future research on this subject and also evidenced, theoretically the concepts of technology awareness (TA) and technology adoption readiness (TAR) while addressing the technology adoption gap among the construction project managers in Nigeria to lower construction project failure rate and industry and opening new opportunities for improved project delivery in the Nigerian national economy. <br><br>
Mechanism Design for Unequal Societies

We study optimal mechanisms for a utilitarian designer who seeks to assign multiple units of an indivisible good to a group of agents with unit demand. The agents have heterogeneous marginal utilities of money, which implies that utility is not perfectly transferable between them. Heterogeneous marginal utilities of money may naturally arise in environments where agents have different wealth endowments. We show that the ex post efficient allocation rule is not optimal in our setting. Firstly, a high willingness to pay may stem from a low marginal utility of money. Moreover, the transfer rule does not only facilitate implementation of the desired social choice function in our setting, but also directly affects social welfare. In the optimal mechanism, rationing may occur, which entails a conflict between ex ante and ex post efficiency. In an extension, we show that it is still not utilitarian optimal to allocate the good solely based on willingness to pay even when redistribution is not possible. Finally, we highlight how our mechanism can be implemented as an auction with minimum bids and bidding subsidies.
Options and Risk

We propose a parsimonious general equilibrium extension of the Black-Scholes economy that helps clarify how options' prices, expected returns, risk exposure, and optimal exercise policies respond to variations in the risk exposure of the underlying asset. The model allows one to separate the effects from changes in idiosyncratic versus systematic risk. Among the new insights we establish are that i) call prices typically respond negatively to increases in systematic risk, ii) the magnitude of call and put options' expected returns are monotonically decreasing in idiosyncratic risk, and iii) the optimal exercise date of an American put can be pushed backwards in time in response to an increase in systematic risk---decreasing the value of waiting. The effects of a change in risk on options are generally ambiguous because it affects their prices through two key channels---the volatility channel and the price channel---and a change in systematic risk causes a repricing of the underlying asset that may dominate the volatility channel. The comparative statics are robust to the presence of stochastic volatility, and thus yield internally consistent implications not only for the cross-section of options but also for the time-series of a particular option.
Does Mutual Fund Family Size Matter? International Evidence

Abstract We use data from 33 countries to study how a fund’s affiliation with large families shapes the flow–performance relationship internationally. Our results show that the effect of family size on the fund flows’ response to performance depends on the sophistication of investors in a country. While less sophisticated investors are persuaded by the great visibility and strategies of funds that are affiliated with large and established families, more sophisticated investors are not. Affiliation with a large family increases the convexity of the flow–performance relationship in countries where investors are less sophisticated, but decreases this convexity in countries with more sophisticated investors. These results are important for investors, mutual fund companies and regulators because the flow–performance sensitivity determines the assets under management, the level of fees, risk–taking, and the performance of the fund.
End-of-Day Price Manipulation and M&As

Based on M&amp;As from over 45 countries from 2003-2014, we show that the presence of end-of-day (EOD) target price manipulation prior to M&amp;As increases the probability of an M&amp;A deal withdrawal, and decreases the premium paid. More detailed exchange trading rules that govern manipulation across countries and over time lower the probability of withdrawal, mitigate the negative impact of EOD manipulation on withdrawal, and raise premiums paid. Finally, while there are fewer cases of acquirer price manipulations prior to M&amp;As, the data indicates positive acquirer price manipulation in share M&amp;As and increases the probability of deal withdrawal.
Declining Search Frictions and Type-of-Employment Choice

Do more people choose to become self-employed when search frictions decline? The origin story of the gig economy suggests that improvements in communication technologies increase the self-employment rate, while cross-country evidence suggests the opposite. We reconcile conventional wisdom with the data by introducing frictions in labor and goods markets in a new model of self-employment. Declining labor market frictions decrease self-employment, while declining goods market frictions increase self-employment. We study the impact of the most salient recent reduction in frictions - the roll-out of broadband Internet - in a panel of OECD countries. We find that the effect of declining goods market frictions dominates: the arrival of broadband Internet has halted three quarters of the average downward trend in self-employment rates.
Determination of chlordimeform and semiamitraz chloride in honey by micellar electrokinetic capillary chromatography with sweeping

A new assay of micellar electrokinetic capillary chromatography with sweeping was developed to determine chlordimeform and semiamitraz chloride in honey.The factors affecting resolution and peak height were studied.The optimum condition for separation and enrichment is determined as that the running buffer consists of 30 mmol/L borate,20 mmol/L sodium dodecyl sulfate and 20%(V/V) methanol whose pH is adjusted to 9.67. The sample is injected at 10 kV for 90 s,and the separation voltage is 20 kV.Under the optimum condition,the peak enrichment factors of chlordimeform and semiamitrazchloride are 1 100 and 1 000;the linear dynamic range is 0.03~0.25 mg/L;the detection limits and the average recoveries of spiked sample are 0.88 μg/kg and 91.8%~100.6% for chlordimeform,and 0.62 μg/kg and 90.5%~102.6% for semiamitraz chloride,respectively.The assay can meet the requirements of determination of maximum residue limits regulated by a number of countries and organizations,and can be applied to determine the residues in honey.
Artificial Intelligence in Organizations: Current State and Future Opportunities

Artificial intelligence (AI) is currently viewed as the most important and disruptive new technology for large organizations. However, the technology is still in a relatively early state in large enterprises, and largely absent from smaller ones other than technology startups. Surveys suggest that fewer than half of large organizations have meaningful AI initiatives underway, although the percentage is increasing over time. This essay titled “AI in organizations: current state and future opportunities” details current challenges and implications that might arise from AI applications, and the ways to overcome such challenges to realize the potential of this emerging technology. First, the paper provide a brief history of AI and an overview of AI typologies. We discuss current challenges, implications and future opportunities regarding AI. Finally, we summarize the special issue articles and highlight the contributions each makes.
The Extraction of Natural Products using Ultrasound or Microwaves

Over the centuries mankind has benefited from the natural materials that occur in plants. In earlier times the whole plant or an extract was used in cooking or as a medicine but nowadays the active constituents of plant extracts provide targets for the synthetic chem- ist. In this review we will explore the advantages that accrue from the incorporation of either ultrasound or microwaves in the extraction process. The two techniques offer different approaches in that ultrasound is generally used to improve conventional solvent extraction whereas microwaves are known for their ability to remove constituents via heating without solvents.
Sorting Expertise

We analyze the optimal sorting of experts, who differ in their ability to acquire information, into production teams. Once a team is formed, experts individually acquire information about the joint project, communicate it to each other, and then engage in team production. Misalignment of preferences at the production stage creates incentives for belief manipulation at the communication stage. We show that the cost associated with misaligned incentives is minimized if experts of similar abilities are placed in the same team. Consequently, surplus maximization may lead to non-diversified teams, even when in the absence of misaligned incentives optimal sorting is negative. Thus, our analysis provides a novel rationale for creation of non-diversified teams of experts.
Mandating the Sustainability Disclosure in Annual Reports – Evidence from the United Kingdom

This study investigates the sustainability disclosure effects of the introduction of the Companies Act 2006 Regulations 2013 in the United Kingdom. The regulation mandates the disclosure of information on greenhouse gas emissions, gender distribution and human rights issues. We examine two research questions: first, whether firms increased disclosure on the mandated topics after the regulation became effective relative to a control group, and second, whether a potential increase in disclosure is moderated by firms’ reporting incentives, namely, firms’ capital market visibility, growth orientation, governance structure, prior voluntary sustainability disclosure levels and critical media coverage. Our sample consists of the FTSE-350 firms and a matched control group of US firms. We use textual analysis to assess the disclosure of the mandated sustainability topics in firms’ annual reports. Specifically, we examine two types of disclosure, namely, the disclosure of the mandated key performance indicators and the narrative disclosure. Our results reveal a significant increase for both types of disclosure relative to the control group. Overall, this treatment effect tends to be smaller for firms with higher reporting incentives, i.e., reporting incentives mitigate the regulatory effect. Taken together, our results suggest that both standards and reporting incentives shape firms’ sustainability disclosure level.
Dynamic Asset Allocation with Stochastic Income and Interest Rates

We investigate the optimal investment and consumption choice of individual investors with uncertain future labor income operating in a financial market with stochastic interest rates. Since the present value of the individual's future income is a main determinant of the optimal behavior and this present value depends heavily on the interest rate dynamics, the joint stochastics of income and interest rates will have consequences beyond the separate effects of stochastic income and stochastic interest rates. We study both the case where income risk is spanned and there are no portfolio constraints and the case with non-spanned income risk and a constraint ruling out borrowing against future income. For the spanned, unconstrained problem we study a special case in which we obtain closed-form expressions for the optimal policies. For the unspanned, constrained problem we implement a numerical solution technique and compare the solutions to the spanned, unconstrained problem. We also allow for typical life-cycle variations in labor income.
Macroeconomic Stabilisation Properties of a Euro Area Unemployment Insurance Scheme

In this paper we use a medium-scale DSGE model to quantitatively assess the macroeconomic stabilisation properties of a supranational unemployment insurance scheme. The model is calibrated to the euro area's core and periphery and features a rich fiscal sector, sovereign risk premia and labour market frictions. Adopting both simple policy rules and optimal policies, our simulations point to enhanced business cycle synchronisation and interregional consumption smoothing. Depending on the exact specification, the results suggest a reduction in the volatility of consumption by up to 49% at the region-level, while the cross-regional correlation of unemployment and inflation increases by up to 52% and 27%, respectively, compared to the decentralised setting. The higher degree of inter-regional risk-sharing comes at the cost of sizable fiscal transfers. Limiting such transfers via claw-back mechanisms implies a much weaker degree of stabilisation across countries.
The use and characteristics of foreign component auditors in U.S. multinational audits: Insights from Form AP disclosures

This paper investigates the common, yet previously opaque, practice of using foreign audit firms (component auditors) to conduct portions of audit work for U.S. public companies. U.S. regulators have expressed concern for the transparency and quality of audits using component auditors. Employing data disclosed in the newly-mandated PCAOB Form AP, we find that component auditor use is largely structural, determined by the size and complexity of clients’ multinational operations. We do not find the mere use of component auditors is detrimental to audit outcomes, rather, the amount of work conducted by component auditors is associated with lower audit quality (i.e., higher likelihood of misstatement), higher likelihood of non-timely reporting, and higher audit fees, which collectively suggest that component auditor engagements are associated with adverse outcomes. Further, we find that only work performed by less competent component auditors and those facing geographic and cultural/language barriers, including significant geographic and cultural distance, weak rule of law, and low English language proficiency, are associated with adverse audit outcomes. Overall, these findings provide initial archival evidence that the use of certain component auditors on U.S. multinational audits is associated with audit coordination issues, which suggests that PCAOB Form AP disclosures provide relevant information.
Annual Reports as Interaction Devices: The Hidden Constructions of Mediated Communication

Based on a micro sociological examination of how an annual report is produced within a Danish business university, this study attempts to increase our understanding of the strategies used by the producers of an annual report intended for use by parliament and the government. The paper uses Erving Goffman's book Frame Analysis (Goffman, 1974) and conceptualises the production and reading of an annual report as a 'strip of interaction' and illustrates how a business university mobilises the primary framework of accounting to guide the interaction between those who produce the report and its potential readers. In addition, the paper examines and answers the questions of why the report seems to have very few users and to find explanations as to why the report ends up as it did. The findings suggest that the annual report can be seen as a passive production process which meets the role expectations of parliament and the government and yet avoids the publication of any critical information that may cause problems for the university, which is currently dependent upon maximizing both public and private financing. As such, the original meaning of the accounting framework is transformed into having different layers of meaning. The study demonstrates how the use of accounting is not the objectivist theoretical use of information for decision-making, but rather the use of information for impression management purposes. Thus the study shows us that annual reports have significant social effects on contributing to the purification of the State and even the democratic constitution.
Small Changes with Big Impact: Experimental Evidence of a Scientific Approach to the Decision-Making of Entrepreneurial Firms

Identifying the most promising business ideas is key to the introduction of novel firms, but predicting their success can be difficult. We argue that if entrepreneurs adopt a scientific approach by formulating problems clearly, developing theories about the implications of their actions, and testing these theories, they make better decisions. In particular, this approach helps entrepreneurs make more precise predictions of the value of their idea and to spot new ideas with higher expected returns. We also examine the mechanisms with which the scientific approach works. Specifically, we posit that scientific entrepreneurs are more precise initially, and less precise later on because they envision new version of their business idea that are worth assessing. Using a field experiment with 250 nascent entrepreneurs attending a pre-acceleration program, we provide evidence consistent with these mechanisms. We teach the treated group to formulate the problem scientifically and to develop and test theories about their actions, while the control group follows a standard training approach. We collect 18 data points on the decision-making and performance of all entrepreneurs for 14 months. Results show that increased precision in the assessment of the value of the business idea of treated entrepreneurs raises the probability that they close their start-ups. Scientific entrepreneurs are also more likely to see new opportunities with higher positive outcomes which prompt them to pivot to these new ideas and perform better.
Good Intentions, Bad Results: Distorted Electricity Price Regulation in Brazil

In Brazil, electrical distributors holding a concession contract with the government operate two distinct monopoly markets: a) electricity distribution market under regulated tariffs; b) infrastructure sharing market with telecommunications companies under unregulated prices. However, the distributors have not shown interest in properly exploring the second market, inducing illegal occupation of the utility poles by telecommunications companies. Part of the distributors' revenues earned in the infrastructure sharing market reduces the periodic electricity tariff readjustment through a pricing regulatory mechanism called `tariff moderateness rule'. The energy sector's regulatory agency has been justifying this regulatory policy on the well-intentioned objective of maximizing the consumer surplus. In opposite, we show that the mechanism built a regulatory model with significant incentives distortions that explain the electrical distributor's behavior and has reduced social welfare. <br>The paper presents a theoretical model to understand the economic rationale that underpins the electrical distributors' behavior in this environment, proposes regulatory solutions, and conducts a difference-in-differences strategy over the 2015's regulatory change in the `moderateness tariff rule' to verify the model predictions empirically. Our methodological approach carefully exploits variations in the possibility of reacting to changes in the rule to identify treatment and control groups by the treatment intensity. The estimated causal results give strong support to our theoretical model conclusions. As predicted by the model, the 2015's reduction of about 19% in the rule leads to an estimated increase in the representativeness of the infrastructure sharing revenues relative to electricity revenues of about 26.36%, on average. This result shows that the economic attractiveness of this sector increases as the rule becomes less tight. Also, the findings suggest that the reaction rises over time, as expected.