Miracle-dz/UniFAR-FTUs huggingface dataset:
Multivariate Regime Switching GARCH Model Application to Portfolio and Risk Management

Regime switching dynamic correlation (RSDC) model allows the correlations to be constant with the regimes themselves however, it differs across regimes. RSDC model has retained many good properties from CCC multivariate GARCH and DCC multivariate GARCH. For example, RSDC does not suffer from the curse of dimensional due to the two steps estimation for volatility. Positive semi definite is also easy to achieve from its decomposition from covariances. In this research, the feasibility of the constant correlations assumptions have been tested using Lagrange Multiplier test developed by Tse (2000) on the RSDC model.
On Truncated Multi-power Estimator of Integrated Volatility With Noisy High Frequency Data

This paper develops the asymptotic theory of the threshold pre-averaged multi-power variation estimation in the simultaneous presence of jumps and market microstructure noise and then proposes an improved estimator for integrated volatility of an Itô semi-martingale based on the obtained theory. This new class of estimation is based on the joint use of pre-averaging multi-power variation estimation in a noisy diffusion setting and the threshold technique, which serve to remove microstructure noise and jumps, respectively. Asymptotic properties of the proposed integrated volatility estimator, such as consistency and associated central limit theorems are also provided. Monte Carlo simulations show that the estimator is robust to both Lévy jumps and microstructure noise and it provides less biased estimation, compared to existing estimators, of the continuous variation in finite samples. We also apply our estimator to some real high frequency financial data-sets.
Promoting Platform Takeoff and Self-Fulfilling Expectations: Field Experimental Evidence

A platform might have the potential to bring enormous value to its users. However, without a well-orchestrated launch strategy that coordinates a sufficient number of users onto the platform, this potential will not be realized. The theoretical literature predicts that one approach to coordinating platform take-off is to influence the market’s subjective focal expectations of the future installed base of users. This paper reports on a field experiment investigating the causal role of subjective expectations in the launch of a new platform venture, in which invitations to join a newly launched platform were sent to 16,349 individuals. The invitations included randomized statements regarding the size of the future expected installed base (along with disclosures of the current installed base). I find that simple, subjective, uncommitted, and relatively costless statements broadcasted by the platform with the goal of influencing market expectations were indeed able to influence platform takeoff and overcome an initial chicken-and-egg problem. These broadcasted subjective statements regarding future installed base had a larger influence on adoption rates than did disclosures of the true current installed base during early adoption. However, these subjective statements of expected future installed base ceased to have any effect once the true current installed base grew large. I discuss implications for the promotion, marketing, and evangelism of new platform ventures. This paper was accepted by Duncan Simester, marketing.
THE ERRONEOUS USE OF RECEPTOR MODELING TO DIAGNOSE O3-NOX-HYDROCARBON SENSITIVITY

Receptor modeling (e.g. Henry et al., 1984) has been an invaluable tool for interpreting measured concentrations of hydrocarbons and other reactive organics and identifying emission sources. Recently, Chung et al. (1996) sought to extend receptor models for use in predicting the sensitivity of ozone to its NO x and hydrocarbon precursors. This attempt forms part of a broader trend that seeks to link ozone—NO x —hydrocarbon predictions directly to ambient measurements (Chameides et al., 1992; Cardelino et al., 1995, Milford et al., 1994, Sillman, 1995a). Unfortunately, the method proposed by Chung et al. contains fundamental flaws that should invalidate its use for making ozone—NO x —hydrocarbon predictions. Since the method has been proposed for use in setting regulations on NO x and hydrocarbon emissions, it is especially important to identify these flaws. The proposed method would use measured concentrations of volatile organic compounds (VOC) and NO x in an urban center during the morning hours (6—9 a.m.) as the basis of its analysis. Starting with these measured concentrations, photochemical evolution is calculated for a time period of up to 12 h, corresponding to the time of interest. A meteorological trajectory model is used to calculate transport from the site of the initial measurements during the time period. Comparisons are then made between measured ozone at sites along the airparcel trajectory and the ozone in the photochemical calculation at times corresponding to the measurements. The authors point out that ozone concentrations calculated in this manner often show agreement with measurements that is as good or better than the results of 3-d Eulerian simulations. If calculated ozone shows satisfactory agreement with chemistry, the authors analyze sensitivity to NO x and VOC by repeating the calculation with either reduced NO x or with reduced VOC. The proposed calculation contains three serious flaws in comparison with the real-world process of ozone formation.
Defining an Intrinsic ‘Stickiness’ Parameter of Stock Price Returns

We introduce a non-linear pricing model of individual stock returns that defines a ”stickiness” parameter of the returns. The pricing model resembles the capital asset pricing model (CAPM) used in finance but has a non-linear component inspired from models of earth quake tectonic plate movements. The link to tectonic plate movements happens, since price movements of a given stock index is seen adding “stress” to its components of individual stock returns, in order to follow the index. How closely individual stocks follow the index’s price movements, can then be used to define their “stickiness”.
Retail Investors’ Disposition Effect and Order Choices

Retail investors are prone to the disposition effect and submit many more limit orders than market orders. Mechanical effects stemming from the price-contingency conditions for order executions can lead these limit orders to inflate an investor's measured disposition effect (Linnainmaa 2010). Our paper is the first to demonstrate that the relationship between the disposition effect and order choices is bi-directional. Using trading data of thousands of investors, we show that investors who are prone to the disposition effect differ from others in their use of limit orders and in their choice of limit prices.
The Power of ESG Ratings on Stock Markets

This paper studies the impact of environmental, social, and governance (ESG) ratings on investors’ preferences and stock prices. We exploit a change in ESG rating methodology that non-linearly shifted ESG ratings for firms as a natural experiment. We show that the ‘pseudo’-changes in the ESG ratings induced by the change in methodology are unrelated to potential fundamental changes in firm’s sustainability. Yet, we find that an exogenous change in a stock’s ESG rating exerts a transitory price pressure and alters the composition of stock ownership. Individual investors are especially sensitive to the ‘pseudo’-changes in the ESG ratings. They (dis)invest in stocks that they misconceive as ESG (down-) upgraded. Short sellers act as arbitrageurs and take the other side of retail investors’ trades. Overall, we find that a one standard deviation quasi-increase in the ESG ratings translates into 1pp drop in stock monthly abnormal return.
The Impacts of Tropical Cyclones and Fluvial Floods on Economic Growth – Empirical Evidence on Transmission Channels at Different Levels of Development

Already today, at about 1°C of global warming, we observe a regional intensification of extreme weather events. While the short-term economic impacts of these events are well documented, little is known about their impacts on economic growth in the long-term. Using a three-way fixed-effects panel model, an outlier-robust regression, and ``people exposed'' as exogenous predictor, we study the short-, medium-, and long-term impacts of tropical cyclones and fluvial floods on per-capita GDP growth for a set of 158 countries for the period 1971--2010. To understand how the observed impacts depend upon the countries' development level, we divide countries into four groups based on the inequality-adjusted human development index. We further decompose national gross domestic product (GDP) into i) its national income components and ii) its sectoral contributions enabling us to single out income components as well as sectors that are most important for impact transmission. On the global level, weather extremes of both categories have significant negative short-, medium-, and long-term impacts on economic growth; over 15 years, long-term growth losses from severe tropical cyclones accumulate to -6.6% and are about five times larger than growth losses from severe fluvial floods (-1.2%). For both event categories, we find growth losses to depend non-monotonously upon development level challenging the common narrative that development can generally protect against disaster losses. Across all levels of development, investment, international trade are the most important transmission channels. Further, in poor countries growth losses mainly result from declines in agriculture and manufacturing growth. Our results provide guidance and decision support for the implementation of evidence-based coping and adaptation strategies, for instance, for the design of National Adaptation Plans for developing countries.
Incentive-Compatible Assortment Optimization

Online marketplaces, such as Amazon, Alibaba, or Google Shopping, allow sellers to promote their products by charging them for the right to be displayed on top of organic search results. In this paper, we study the problem of designing auctions for promoted products and highlight some new challenges emerging from the interplay of two unique features: substitution effects and information asymmetry. The presence of substitution effects, which we capture by assuming that consumers choose sellers according to a multinomial logit model, implies that the probability a seller is chosen depends on the assortment of sellers displayed alongside. Additionally, sellers may hold private information about how their own products match consumers' interests, which the platform can elicit to make better assortment decisions. <br><br>We first show that the first-best allocation, i.e., the welfare-maximizing assortment in the absence of private information, cannot be implemented truthfully in general. Thus motivated, we initiate the study of incentive-compatible assortment optimization by characterizing prior-free and prior-dependent mechanisms, and quantifying the worst-case social cost of implementing truthful assortment mechanisms. An important finding is that the worst-case social cost of implementing truthful mechanisms can be high when the number of sellers is large. Structurally, we show that optimal mechanisms may need to downward distort the efficient allocation both at the top and the bottom.
Evaluating Fiscal Supports for the Public-Private Partnership: Determinants of Short Contract Survival

The marked increase in public-private partnerships (PPPs) has created both opportunities and fiscal challenges in developing countries. This paper examines how government's fiscal supports and the capacity of fiscal risk management explain the short survival of PPP contracts. The analysis shows that budget-constrained governments tend to adopt debt-hiding fiscal operation by structuring PPPs with guarantees when budget transparency is weak. After addressing contract endogeneity, the hazard estimation finds that guaranteed contracts face significantly high dispute risk due to fiscal manipulation and adverse selection. The paper quantifies how much infrastructure governance matters in determining the survival of guaranteed contracts.
Ritual and Community in Japanese Family Business: Extending the ‘Circle Model’

In the standard ‘three circle model’ of family business the role of employees and of the embedding local community is neglected. However, both are an important element in current family business research on ‘socio-emotional wealth’ as forms of ‘benevolent social ties’. We suggest adding a ‘community’ circle to the three circle (aka systems) model of family business, with the community circle governed by the systemic logic of reciprocal exchange, as differing from the kinship logic of family and market logic of company. Anthropological research suggests that reciprocal exchange is often governed by ritual: This is most salient when considering East Asian societies. Based on a series of interviews with long-living Japanese family firms adding supplementary information, we explore how rituals play an important role in expressing and enacting community relations, the latter interpreted as both the community of the company (i.e., employees) and the local community.
Digital Collateral

A new form of secured lending using “digital collateral” has recently emerged, most prominently in low- and middle-income countries. Digital collateral relies on lockout technology, which allows the lender to temporarily disable the flow value of the collateral to the borrower without physically repossessing it. We explore this new form of credit in a model and a field experiment using school-fee loans digitally secured with a solar home system. Securing a loan with digital collateral drastically reduced default rates (by 19 pp) and increased the lender’s rate of return (by 49 pp). Employing a variant of the Karlan and Zinman (2009) methodology, we decompose the total effect on repayment and find that roughly two-thirds is attributable to moral hazard, and one-third is attributable to adverse selection. In addition, access to digitally secured school-fee loans significantly increased school enrollment and school-related expenditures without detrimental effects on households’ balance sheets.
The Unemployment-Labor Force Participation Linkage in Iran's Women Labor Market

Purpose During recent years, the long-run relationship between the unemployment rate (UR) and the labor force participation (LFP) rate has been examined in-depth in developed and developing economies. This paper aims to explore this relationship for Iranian women in 31 provinces from 2005Q2 to 2019Q1. Design/methodology/approach To examine the existence of a long-run relationship between female LFP and UR, the time-series cointegration approach has been used. Furthermore, regarding the low power of the univariate cointegration approach, the authors consider a panel version of the cointegration tests developed by Westerlund. Findings Both time-series cointegration tests and panel cointegration test support the unemployment invariance hypothesis for most Iranian provinces, especially the most religious ones. As it implies an invariance to supply side policies, it seems that reducing legal and cultural barriers could be more relevant to decrease female UR and increase LFP than training programs or R&D policies. The present results also suggest that, for this group of regions, a more centralized policy design could be appropriate, instead of a regional one. Originality/value This study investigates whether the unemployment invariance hypothesis holds for Iran, which has not been analyzed before for the Iranian labor market. Moreover, the study adopts a regional approach, which takes into account the huge regional differences in Iran.
Loan Sales Under Asymmetric Information

Loans are illiquid assets that can be sold in a secondary market even that buyers have no certainty about their quality. I study a model in which a lender has access to new investment opportunities when all her assets are illiquid. To raise funds, the lender may either borrow using her assets as collateral, or she can sell them in a secondary market. Given asymmetric information about assets quality, the lender cannot recover the total value of her assets. There is then a role for the government to correct the information problem using fiscal tools.
Overseeing Innovation

We study the effect of senior manager oversight on inventors’ productivity. We use changes in travel times between inventors and their employer’s headquarters caused by flight time changes as sources of plausibly exogenous variation in manager oversight of inventors. We find that oversight increases inventors’ productivity, as measured by equity market returns to patent approval announcements, the number of patent filings, and forward citations received. Oversight also increases inventors’ creativity and propensity to collaborate, and has a greater effect when the manager’s incentive to invest in the inventor is greater. Consequently, manager oversight appears to increase inventor productivity via advising and information sharing, and not via greater control. We also find that the effects of oversight vary with three unique features of innovation: its horizon, its creativity, and the difficulty contracting with inventors. Our results suggest that the primary role of managers in innovative settings is to provide guidance, rather than to exercise control.
Using Simple Technical Analysis Indicators for Asset Allocation Decisions

This study analyzes the potential effectiveness of using simple technical analysis indicators to determine the overall riskiness of portfolio asset allocation. Using the 200-day simple moving average of the S&amp;P500 as our technical indicator in two separate strategies, we employ a “risk-on” asset allocation strategy (more portfolio allocation in stocks as a percentage) when the S&amp;P500 is above the indicator line and a “risk-off” strategy (less stock/more bond allocation) when below. We compare the “buy and hold” returns of various portfolio allocations in the U.S. stock and bond markets from 1962-2017. In the initial analysis, we find that following this rule with the 200-day simple moving average provides excess annual returns of up to 0.59%, with all analyzed allocation combinations posting both excess returns and a reduction in overall risk for all analyzed allocation combinations, with all 200-day strategies posting an increase in Sharpe ratios when compared to their baseline “buy-and-hold” strategy.
Credit Reversals

This paper studies episodes in which aggregate bank credit contracts alongside expanding economic activity—credit reversals. Using data for 179 countries during 1960‒2017, the paper finds that reversals are a relatively common phenomenon--on average, they occur every five years. By comparison, banking crises take place every eight years on average. Credit reversals and banking crises also appear related to each other: reversals become more likely in the aftermath of banking crises, while the likelihood of crises drops following reversals. Reversals are shown to be very costly in terms of foregone economic activity—about two-thirds of the costs of banking crises, after taking into account their relative frequencies.
Governing the Quango: An Auditing and Cheating Model of Quasi-Governmental Public Authorities

The New Public Management has a paramount implication for the delegation of authority to implement public policy, namely that such delegations be designed according to the substance of the task to be performed by a quasi-governmental agent. In other words, the government must be able to choose the best agent to carry out a particular task, which implies that the set of agents must not be confined to actors and departments within the bureaucracy. This flexibility of form increases the importance of ex ante design in the legislature to avoid misuse of public funds by the quango. It also has the potential to increase ex post enforcement activity by the government. This article examines ex ante design from the perspective of auditing, presenting a simple formal model of the construction of auditing procedures as a response to expectations of the misuse of funds. By creating such requirements as the requisite submission of annual plans, reports, and accounts, governments attempt to create a compliance-inducing scheme much like that present in tax enforcement. The theoretical model generates empirical predictions that are statistically examined using data on public bodies in the Netherlands created between 1946-1993. Empirical results demonstrate strong support for the theory.
CEO Inside Debt and Innovation

This study examines the effect of CEO inside debt compensation on firm innovation. CEO inside debt compensation comprises deferred compensation and pension benefits. We find that CEO pension benefits negatively and significantly impact the number of patent applications in the following year and the number of patents and citations over a three-year time horizon. CEO pension benefits are also significantly and negatively associated with future innovation efficiency, which is measured by the firm’s research quotient (Knott, 2008). The negative association between CEO inside debt compensation and the firm’s future innovation is robust to endogeneity concerns.
Mean-Reversion in Commodity Futures Volatility: An Analysis of Daily Range-Based Stochastic Volatility Models

We analyse the dynamic behavior of conditional volatility in commodity markets using a novel, manually collected dataset of daily price ranges over a time span of more than 140 years, which allows more precise daily volatility estimates than are otherwise prevalent in the commodity literature. We find that a one-factor range-based EGARCH-model (REGARCH) is not adequate to capture the very distinct long-run and short-run dynamic volatility components. While the long memory effect of volatility is numerically very small, it strongly affects the parameters of the short-run dynamics which become more stable and plausible in size. Moreover, long-run persistency in volatility shocks is practically unaffected after controlling for regimes which indicates that the stochastic movement of the long-run mean is not a statistical artefact. We also find that consistent with the theory of storage, long run volatility is positively related to lagged returns. Thus, asymmetry in volatility is not a short-run phenomenon.
Dividend Tax Policy and Dividend Payout of Food and Beverages Firms in Nigeria

This study examined the effect of dividend tax policy on dividend payout in selected Nigerian food and beverages firms. The study employed a cross-sectional approach using both explanatory and exploratory design. Fifteen out of twenty one quoted food and beverages firms on the Nigeria stock exchange (NSE) as at December 2018 were randomly selected to constitute the study sample. Four hundred copies of structural questionnaire were distributed but only three hundred and twenty copies were correctly completed and useful for the analysis. The study revealed that dividend tax policy was significant on a dividend payout (f-statistic =27.52; p=0.000) with R-square =0.285. When the moderation variable effect (inflation) was considered, it was also found that dividend tax policy influenced dividend payout of the selected firms (F-statistic=15.89; p=0.000). The study further revealed that tax policy has significant effect on dividend payout in the selected firms. The study therefore recommended that management of firms should adopt more of stock dividend policy than cash concluded payout. <br>