Miracle-dz/UniFAR-FTUs huggingface dataset:
Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in the Natural Gas and Crude Oil Markets?

For fixed maturity, under the no-arbitrage assumption, futures prices should follow a martingale with respect to the trading time, at least under the pricing measure. Therefore, a prominent display of trading time seasonality under the physical measure raises warning signs and can only occur by means of strong seasonality in the pricing kernel. We show that for natural gas and crude oil, trading time seasonality is present to an extent where it may violate the no-arbitrage assumption. We provide three layers of evidence. The first layer is descriptive only, the second involves the Kruskal--Wicksell test for establishing trading time seasonality, and the third is in the form of a trading strategy, which exploits trading date seasonality. This strategy can produce statistically significant positive alphas in the CAPM context, thereby indicating the possibility of an arbitrage.
The Risk Measurement in the Skewed Student’s t Model

Throughout this paper, we discuss the problem of calculation of the value at risk and the expected shortfall risk measures in the skewed Student's t model. The investment portfolio which consists of assets with deterministic, inverse gamma and skewed Student's t returns is considered. Analytical results for the mentioned above monetary risk measures are derived basing on the formulas for the distribution functions of losses. The obtained formulas depend on the values of special mathematical functions including the generalized hypergeometric ones. Numerical examples of the computations are given.
The Effect of the Balance Sheet Approach on the Usefulness of Accounting Information in Assessing Bank Default Risk

This study investigates the effect of the balance sheet approach, where financial reporting focuses on asset and liability valuation, on the usefulness of the capital adequacy ratio in the evaluation of bank default risk by credit rating agencies. We examine Japanese banks, which play the central role in the Japanese economy, and whose capital adequacy ratios are affected by the fair value measurement under the balance sheet approach. We adopt Demerjian’s (2011) approach to develop a bank-level measure of balance sheet focus. Although we find a significant positive correlation between the slack of the regulatory capital adequacy ratio and issuer rating, we find that this positive correlation is significantly weakened as a bank’s dependence on the balance sheet approach increases. The results suggest that the regulatory capital adequacy ratio based on a bank’s accounting information provides useful information for the evaluation of default risk but that rating agencies discount capital information that relies heavily on the balance sheet approach when estimating a bank’s default risk.
Underwriting in the Australian IPO Markets: Determinants and Pricing

We examine the factors that explain the underwriting decision and underwriting fees for Australian initial public offerings (IPOs). Using a sample of Australian IPOs, spanning the period 1999–2019, we document the following results. IPOs that allow oversubscription of the shares, bookbuild offers, and IPOs with a greater delay to listing, are less likely to be underwritten. We also find that more prestigious underwriters are associated with greater IPO underpricing, while charging lower percent underwriting fees. Prestigious underwriters capture side benefits associated with their reputational status by offering their clients or favoured investors with discounted shares. G12, G19, G38
Valuation of Products and Transient Market Power of Firms

Firms utilize non-price strategies to convey the value of their products to consumers. They may also take advantage of rivals market power reduces over time. This empirical study is an attempt to (a) verify whether strategies are developed to reveal the value of products, (b) estimate the transitory market power index, and (c) examine whether the transitory market power reduces over time.
Do Golden Parachutes Spur Innovation in Concentrated-Ownership Corporations

This paper provides highly significant evidence that golden parachutes spur innovation in concentrated-ownership corporations and State-Owned-Enterprises (SOEs). Taking advantage of China's institutional features, we find that golden parachutes lead to higher levels of innovation quantity and quality through a risk-taking mechanism. The positive effects of parachutes on innovation are more pronounced when ownership concentration increases for SOEs, as well as when ownership concentration decreases for non-SOEs. We establish causality with two novel instrumental variables – executive lawyer alumni connection and law firm density around headquarter.
Calculation of two-dimensional nonlinear fluid flow resulting from large-amplitude forced heave motion of a u-shaped cylinder in a free surface / by John G. Telste

Abstract : Progress in developing a tool to compute large amplitude ship motions is reported. In particular, a method to calculate transient two-dimensional potential flow about a body moving in a free surface is described. The flow problem is formulated as an initial-boundary value problem in which the velocity potential along the free surface and the positions of the moving boundaries are sought as solutions of a coupled system of differential equations. An implicit finite-difference method is used to advance the solution of the coupled system of equations in time. The auxiliary problem of computing the velocity potential inside the fluid region is solved by a method which is based on boundary-fitted coordinates and is directly extensible to three-dimensional flows. Results from calculating the potential flow about a body in forced heave motion are presented. The hydrodynamic force on the body has been obtained and compared with the hydrodynamic force predicted from second-order perturbation theory. Keywords: Free Surface Effects; Heaving Cylinder; Perturbation Theory; Ship Motions; Ship Hydrodynamics; Water Waves.
The Effect of Key Audit Matters and Uncertainty Disclosures on Auditors’ Accountability Perceptions and Fair Value Decisions

We investigate how the mandated disclosure of Key Audit Matters (KAMs) and management disclosures in the financial statement footnotes affect auditors’ perceptions of their accountability and their subsequent fair value decisions. We find a substitution effect between KAMs disclosures and footnotes, in that auditors believe they are less accountable either when they have the opportunity to report on the fair value estimates in KAMs disclosures or when management has provided fair value related footnotes. However, despite the lower perceived accountability from either of these disclosures, we find that when both KAMs and footnotes are reported concurrently, auditors require greater fair value adjustments. Overall, our results show that the requirement to disclose KAMs does make a difference on auditors’ perceptions of accountability and their adjustment decisions.
Hedging with Chinese Metal Futures

This paper evaluates different hedging strategies for aluminum and copper futures contracts traded at the Shanghai Futures Exchange. In addition to usual candidates such as the traditional regression hedge ratio and the hedging strategy constructed from the bivariate fractionally integrated generalized autoregressive conditional heteroskedasticity (BFIGARCH) model, two advanced specifications are proposed to account for impacts of basis between spot and futures prices on market volatility and co-movements. Empirical results suggest that the basis has asymmetric effects on the market behaviors. Moreover, the optimal hedging strategy constructed from the asymmetric BFIGARCH model produces the best in-sample and out-of-sample hedging performance.
Divergence Utilities

We investigate a class of concave monetary utility functions, which we call divergence utilities. Divergence utilities are the translation invariant hull of expected utilities. This class is rather wide and includes, in particular, the entropic utility. More important, this class is very convenient analytically. We provide several representations of the corresponding concave utilities, an explicit solution of the portfolio optimization problem as well as an explicit solution of the risk sharing problem.
Do Cryptocurrency Markets React to Issuer Sentiments? Evidence from Twitter

Researchers and practitioners increasingly use posts on Twitter as an additional source of information to analyze cryptocurrency price movements. Previous studies focusing on the stock markets have illustrated the impact of corporate sentiment disclosure on stock returns and trading volumes. This study explores the cryptocurrency market reaction to issuer Twitter sentiments. I find that cryptocurrency prices react positively to Twitter sentiments, while the trading volumes react positively to the absolute value of Twitter sentiments in a timely manner (within 24 hours). Further analysis in this study reveals that the market reactions are mainly driven by the incremental sentiments contained in Twitter posts. This study sheds light on the trading behavior of investors in the cryptocurrency markets.
Volatility Persistence and Momentum

Volatility persistence is an important channel for understanding rational momentum effects. Since risk premia are, ceteris paribus, proportional to the volatility of the aggregate market or individual assets, momentum in the risk premia is expected to be strong when the volatility is highly persistent. I present empirical evidence that volatility persistence could capture the autoregressive risk premium. It also suggests that momentum profits can be attributed to time-varying risk. Furthermore, after controlling for risk-based momentum effect, the relationship between past and current returns turns out to be unclear, meaning that momentum exists mostly at the risk premium level.
Confronting Confrontation

The right to confront adverse witnesses has brought the English courts into conflict with the European Court of Human Rights. Drawing on confrontation doctrine in Europe and the United States, this paper argues that there is no convincing rationale for the sort of strong confrontation right found under the ECHR and the US constitution. A more pragmatic approach to confrontation, based on the best evidence principle, is advocated.
The Effect of Service Customization on Customer Loyalty Towards Mobile Network Operator in Pakistan: The Mediatory Role of Perceived Quality, Value, Customer Satisfaction, and Trust.

Companies often engage in product and service customization as part of a differentiation strategy, as it represents a source of competitive advantage. However, its effect on customer relationships as well as contingencies for its effective application is not well understood. In Particular, how it has an impact on the loyalty of a brand or company is still an open question. This paper modified Coelho and Henseler (2012) model to explore the influence of service customization on customer loyalty in the cellular phone operators. We hypothesized that customization increased product quality that would increase perceived value. The increased value would lead to customer satisfaction and ultimately loyalty. Customization also has effects on loyalty by increases in customer trust. Empirical validity was established by conducting a survey using a close_ended questionnaire. Data was collected from 305 respondents and analyzed using confirmatory factor analysis and structured equation modeling. The results suggested customization has a direct but inverse effect on loyalty. Moreover, it has a significant and positive effect on perceived quality as well as customer satisfaction. Perceived quality positively affects perceived values and Customer satisfaction. On focusing on the other channel, we found a negative effect of customization on trust. However trust positively affects loyalty, hence trust plays an inverse role in mediating customization and loyalty nexus. Lastly, customer satisfaction has a positive effect on both loyalty and trust. Customization has both direct and mediated effects on customer loyalty and interacts with the effects of customer satisfaction and customer trust on loyalty. Hence, the finding implies that customization has both direct and mediated effects on customer loyalty and interacts with the effects of customer satisfaction and customer trust on loyalty. This paper ﬁlls an important gap in the knowledge of customization outcomes, and clariﬁes under which circumstances customization is most effective. These results help managers to decide upon resource allocation to enhance customer satisfaction, trust, and loyalty.
Impact of Tweets’ Sentiment Upon Stock Prices of Sport Companies: Can Fans Influence the Share Price of Their Preferred Sport Brand?

This article aims to study the link between Twitter announces and stock prices of sport companies. Information extraction based on Natural Language Processing (NLP) allows to assess quickly and in a structured manner data from news, tweets, etc. Sentiment analysis provides an additional feature by categorizing the data in various classes (positive or negative sentiments, bullish or bearish market views etc.). In many instances, news, announces, social media content affects the evolution of stock prices. The research focuses on companies in the sport industry due to their popularity and the consistent number of followers on social networks, which provide a sound basis of analysis. The methodology encompasses the causality of tweets on stock price and the event study related to a significant event. The results analyze a sample of 18 listed companies in the sport industry.
Optimal Ratcheting in Executive Compensation

Recent empirical studies point out that the firms do not fully incorporate the managers’ past performance when revising future contractual terms. This study offers a theoretical perspective on the firm’s executive compensation strategy that supports such latest empirical findings. Using a two-period principal-agent model, we examine firm’s compensation schemes with ratchet principle taking into account key factors such as informational rent, capability uncertainty, and performance noise. After characterizing the optimal incentive rates for a given degree of ratcheting, we examine the efficacy of ratcheting contract in executive compensation. We also explore the optimal degree of ratcheting that strikes a fine balance between informational rent and ratchet effect. We find that the capability gap-performance noise ratio plays a critical role in determining the optimal degree of ratcheting. Funding: I. Hwang and M. K. Lim acknowledge support from the Institute of Management Research at Seoul National University. Supplemental Material: The online appendix is available at https://doi.org/10.1287/deca.2023. 0467 .
The Option-Implied Asset Volatility Surface

This paper provides a simple way to obtain an option-implied asset volatility surface. The proposed estimation technique allows to estimate the unobservable asset volatility surface in the same fashion of what is done when equity volatility is extracted from options. Given a sample of 66 US firms, the asset volatility is first estimated at the firm level and then aggregated in order to study the properties of the market-wide asset volatility surface. Principal component analysis (PCA) is conducted on the weekly changes of the volatility surface both across the moneyness and the time-to-maturity dimension, as well as on the overall surface. Both across moneyness and maturity, the first three PCs are able to account for most of the variation and can be identified as level, slope/smirk and curvature factors respectively. When analysed in across the whole surface, the first two PCs account for most of the variation and represent a level and a skew factor. Finally, the joint evolution of the smirk and the slope of the surface is model-led as a Vector Auto-regressive model with exogenous variables. Both slope and smirk appear to be jointly auto-correlated and loading of the other market variables display the predicted sign.
Audit Quality and Properties of Analysts' Information Environment

Prior research (Behn et al. 2008) suggests that higher audit quality is associated with increased accuracy and reduced dispersion in earnings forecasts issued by sell-side analysts. We extend this work to consider how audit quality impacts the information environment in which analysts operate. Using the method outlined by Barron et al. (1998), we examine whether higher audit quality (proxied as an industry specialist auditor) is associated with differences in the weight analysts place on common information relative to private information, as well as the extent to which audit quality separately impacts on the precision of analysts’ private and common information. Our results show that higher audit quality results in analysts placing increased weight on public information, but also that the precision of private (as well as public) information is improved. These results extend our understanding of how audit quality impacts on attributes of analysts’ forecasts and provides support for the argument that audit quality impacts users of audited financial reports.
Do Prices Rise Faster Than They Fall? Evidence From Scanner Data

It is a stylized fact that product prices tend to react faster to an increase in costs of intermediate inputs, than to a decrease. This study uses scanner data of retailers in an emerging economy, Kazakhstan, to analyze how large exchange rate shocks impact consumer prices. Consistent with previous studies, we found an incomplete exchange rate pass-through (ERPT) into consumer prices, even a year after the initial shock. This ERPT, however, is heterogeneous and depends on product type (imported versus domestic), shock size, and retailer size. In particular, ERPT is higher for imported products (50%) than for domestic products (25%); ERPT is also non-linear and higher for large retailers. Distinguishing the impacts of appreciation and depreciation reveals that ERPT is asymmetric and the direction of asymmetry is opposite for imported and domestic products. Our findings suggest that domestic producers may be keen on preserving the market share while foreign manufacturers may be more concerned with increasing markup.
Factor Construction Zoo: Are Factor Exposures Created Equal?

The answer is no. Factor investing provides investors with a low-cost avenue to participate in stock selection. Investors earn excess returns for taking on factor risk, which is often measured by factor exposure. However, the relation between the return and factor exposure is nonlinear. Large-scale simulation shows that similar target factor exposures can be engineered using various portfolio construction methodologies, but the resulting portfolios exhibit significant dispersion in expected returns and co-movement with the market and across factor funds. The dispersion increases with target factor exposures. As such, some factor exposures are more efficient than others. This article further studies a comprehensive list of portfolio construction choices for value, momentum, and quality funds; discusses the trade-off at work; and provides a framework for the assessment of factor exposure efficiency. It is important to account for nonlinearity in constructing or evaluating factor funds.
Partnership of the Village Head, Village Consultative Body and Customary Institutions

The Government of Kayeli village is an integral part of the District government Buru where the administrative elements make the Kayeli village government have to run the administrative tasks strictly in their activities, in fact A involvement in traditional institutions that eventually affect the orientation and implementation of development. The three elements of village institutions namely village Governments, village consultative bodies and indigenous institutions are able to collaborate from planning to monitoring the development of the Kayeli village community. This research is a qualitative study aimed at describing the partnerships that awakened between institutions in the village of Kayeli. The research site is focused on Kayeli village. The number of informant interviews of 30 people consisting of village apparatus, public figures, indigenous people and local communities is taken purposive. The analytical techniques used to follow the concepts given by Miles and Huberman include data reduction, data presentation and withdrawal of conclusions. The results showed that the relationship that awakened from these three institutions was able to create harmonization of village development that materialized through the planning, implementation and supervision conducted jointly with Communication and active role in village development.
Not All Bank Liquidity Creation Boosts Prices --- The Case of the US Housing Markets

This paper is about investigating how different bank liquidity creation activities affect housing markets. Using data of 401 metropolitan statistical areas/divisions (MSAs/MSADs) of the US between 1990 and 2018, we show that not all bank liquidity creation activities boost housing markets. In particular, unlike asset-side and off-balance sheet liquidity creations, funding-side liquidity creation dampens housing markets. The relationships between liquidity creation activities and housing markets are stronger in regions with inelastic house supply, but are flipped when banks face external liquidity shocks. We also find that housing markets dominated by large banks are more sensitive to off-balance sheet liquidity creation activities. Finally, as expected, asset-side and off-balance sheet liquidity creations boost housing markets by driving house prices away from fundamental values. Our results offer a more thorough explanation about how bank liquidity creation fuels the momentum of housing markets.
Changes in the Distribution of Alter-Tax Wealth: Will Wealth Tax Improve the Wealth Distribution Inequality in the United States?

This paper reviews the historical trends of the distribution of income and wealth in the United States. It also discusses the literature on whether imposing wealth tax suggested by Senator Warren and Sanders will improve the inequalities. The paper researches the tax policy regarding the Wealth taxes on ultra-wealthy households, the policy that has been proposed by Democratic presidential candidates to fight against inequality and raise extra revenue in the long term. <br>
Greenwashing during Uncertain Times

We use a unique database that includes selective environmental disclosures to examine the impact of economic policy uncertainty on corporate greenwashing in the US. Our results suggest that during periods of heightened EPU firms reduce their greenwashing, as they appear to disclose more information that is important rather than benign with respect to their environmental performance. We further validate this new evidence by showing that, in response to increased political uncertainty around gubernatorial elections, firms engage in more substantive rather than symbolic environmental disclosures. In addition, our cross-sectional analyses show that the relation between EPU and greenwashing varies with the extent of an industry’s political sensitivity, intensity of industry competition, firm age, financial constraints, and information quality. Our novel evidence survives extensive robustness tests. Overall, our study suggests that uncertainty over government policies reduces firms’ incentives to engage in deceptive environmental reporting.