Miracle-dz/UniFAR-FTUs huggingface dataset:
How to Value Active Versus Passive Management: Using Options to Choose 'Better-of-Two'

The active-versus-passive portfolio debate falsely forces investors into an all-or-nothing decision between the two. Instead, using a well-known option approach, we show (1) how to value active management and (2) replicate that option through time using a dynamic mix of active and passive portfolios. First, we show how the investor earns the “better-of-two” returns by buying a passive portfolio and simultaneously purchasing an option to exchange, on a certain date, the results of the passive portfolio for the results of an active portfolio. The investor gets a minimum payoff equal to the passive portfolio’s return minus the cost of the option plus the opportunity to receive the active portfolio’s return if it finishes in the money. In a more practical vein, we then show how investors and fiduciaries can replicate this option over time through an optimal dynamic mix of the active and passive portfolios. In our base case, an at-the-money option 10 years from expiration would be worth (i.e., cost) about 5.5% of passive portfolio’s value and could be replicated with roughly a 40/60 mix of active and passive assets. Then, to add realism, we show the effects of introducing borrowing costs, tracking error and alpha on the distribution of returns and replication costs of a dynamic allocation strategy. Finally, we simulate returns from the dynamic replication strategy using historical mutual fund returns within 60/40 stock/bond portfolios. We find that the dynamic replication outcomes, using both hypothetical return distributions and actual mutual fund returns, are close to or better than those of similar allocations involving static all-passive and all-active portfolios. We find that gains are particularly noticeable during periods when active excess returns are negative. Turnover for long-horizon portfolios is less than 4% per month.
How did COVID-19 shape the Tweets sentiment impact upon stock prices of sport companies?

This article aims to study the link between Twitter announces and stock prices of sports companies during the COVID crisis. In many instances, news, announces, social media content affect the evolution of stock prices. This paper assesses the relationship between the sentiment of social media and the evolution of stock prices. The study focuses on companies from the sports sector due to their popularity and the consistent number of followers on social networks, which provide a sound basis of analysis. Two aspects are explored: the Granger causality analysis of the tweets on stock prices and the event study related to the COVID crisis. The approach is implemented for a sample of 18 listed companies in the sports sector.
Understanding the Islamic Banking System in Indonesian Modern Economics Practices

The recent awakening of Islam has influenced many aspects of human life, including financial management based on Islamic law. There have been many conventional banking systems throughout the country, the trend of Islamic banking remains the prima-donna, especially for the Moslem themselves, so that more and more conventional banks are converting their banking systems to the Islamic banking system. This paper aimed to refresh the understanding of the Islamic banking system in Indonesian modern economic practices. To answer this study's problems, we have conducted a series of literature reviews on the Islamic banking system and the conventional banking system in the modern economic context. By connecting all related aspects, we can finally summarize that Islamic banking is very different from the conventional bank system. The difference is the principal between fund owners and bank owners. In the modern economic practices, Islamic banking has become a world phenomenon, especially in Indonesia, where the existence of sharia banking is lighter in the contract management system and legal principles, the mutual benefit approach, banking organization, a more unified financing system between banks and customers or creditors.
Homeownership, Labor Supply, and Neighborhood Quality

This paper provides evidence on the external benefits of homeownership among low-income populations. A natural experiment in Israel generated large changes in neighborhood homeownership rates while holding fixed the residents and housing stock, two primary sources of bias in traditional estimates. When public housing tenants are given the opportunity to buy their units, buyers increase labor supply. Effects are felt in the neighborhood: when homeownership rises by 10 pp, neighborhood home prices rise 1.5–2 percent. Instrumenting for purchases using government discounts generates similar results. Results are relevant for policies using financial incentives to increase homeownership among low-income populations. (JEL H24, I38, J22, R21, R23, R31, R38)
The Demand for Simple and Flexible Retirement Products

Many people save too little for retirement. This paper studies – using a stated choice experiment – whether simplicity and flexibility can increase the demand for retirement products. We compare the willingness-to-pay (WTP) for self-employed workers and employees, and find that the self-employed are willing to give up 8% of post-retirement benefit in order to avoid having to provide information about their financial situation. In addition, self-employed workers are willing to give up 14% in order to have the option to withdraw money in case of low income or for mortgage payments. Employees are willing to give up roughly 4% for such flexible options. Our findings imply that providing more flexible and simple retirement products likely increases pension contributions through annuities, especially for the self-employed.
The More the Merrier? Evidence from the Global Financial Crisis on the Value of Multiple Requirements in Bank Regulation

This paper assesses the value of multiple requirements in bank regulation using a novel empirical rule‑based methodology. Exploiting a dataset of capital and liquidity ratios for a sample of global banks in 2005 and 2006, we apply simple threshold-based rules to assess how different regulations individually and in combination might have identified banks that subsequently failed during the global financial crisis. Our results generally support the case for a small portfolio of different regulatory metrics. Under the objective of correctly identifying a high proportion of banks which subsequently failed, we find that a portfolio of a leverage ratio, a risk-weighted capital ratio, and a net stable funding ratio yields fewer false alarms than any of these metrics individually – and at less stringent calibrations of each individual regulatory metric. We also discuss how these results apply in different robustness exercises, including out-of-sample evaluations. Finally, we consider the potential role of market-based measures of bank capitalisation, showing that they provide complementary value to their accounting-based counterparts.
The Global Impact of COVID-19 on Financial Markets

This paper hypothesizes that the number of novel coronavirus disease (COVID-19) cases significantly influence the stock returns in international financial markets. Our empirical evidence, based on panel Granger non-causality tests, strongly supports this hypothesis for Group of Seven (G7) countries. This also adds to the growing literature on the impact of non-economic variables on financial markets, from the perspective of diseases. <br>
The Impact of Macroeconomic Variables on Stock Market Development in Zimbabwe (1990–2018)

This paper examines the impact of macroeconomic variables on stock market development in Zimbabwe using Auto-regressive Distributed Lag (ARDL) model. The macroeconomic variables used are, exchange rates, interest rates, money supply, gross domestic product (GDP) and inflation rate while stock market capitalization is used as a proxy for stock market development. The diagnostic tests conducted revealed that the model is not suffering from any regression violations and all variables were stationary in levels at first difference. The ARDL bounds test revealed the presence of co-integration between stock market development and macroeconomic variables hence an error correction model was adopted. The ARDL error correction model reveled that in the long run only exchange rate has a significant positive relationship with stock market development and only inflation has a negative insignificant relation with stock market development. GDP, money supply and interest rates have a positive insignificant relationship with stock market development. The Granger causality results show that there is a bidirectional relationship between stock market capitalization and exchange rate in Zimbabwe, no causality between stock market development and real GDP, unidirectional causality between inflation and stock market capitalization, running from stock market capitalization to inflation. Results also show that there is no causality between stock market capitalization and money supply, unidirectional causality between interest rates and stock market capitalization which runs from stock market capitalization to interest rates. It is thus recommended that government should consider policies that can help stabilize the macroeconomic environment in Zimbabwe and also to come up with policies that can regulate the activities of the ZSE, to encourage transparency and accountability. This will help in building investor’s confidence and attract domestic and foreign financial inflows.
Robust Techniques to Estimate Parameters of Linear Models

Standard regression technique uses Ordinary Least Square estimator (OLS) for model ﬁtting. In the presence of outliers OLS ﬁts the model vary sharply with respect to actual regression curve. For model ﬁtting, this paper applies robust estimation approach as a substitute for OLS. This approach reduces the ill effect of outliers and learns the representation of data. Various robust regression techniques, namely, L estimators, M estimators, S estimator and MM estimator have been used which works on the principle of order statistics and weighting techniques to reduce the weight of distant observations. These estimators are applied on four data set out of which 3 are taken from UCI repository and one is taken from NASA Surface meteorology and Solar energy. When comparing the methods on the basis of bias and variance parameters MM estimator performs well in majority of the data set while in some cases M estimator also exhibited promising results.
Origin of Outperformance for Stock Recommendations by Sell-Side Analysts

We examine the sources of added value in analysts’ recommendations by investigating the detailed content of sell-side analysts’ recommendation-based portfolios. We clarify whether the well-documented positive excess returns earned by recommendation portfolios span all market sectors and size deciles during the period 2002-2017. Our study documents that the excess returns are explained primarily by the analysts’ within-sector stock-picking ability and partially by the effect of overweighting in industries, such as Materials, Consumer Discretionary and Information Technology, and in small-cap stocks. The outperformance of Star analysts stems from superior information content in their recommendations, which contain both within- and across-industry information.
Customer Concentration and Income Smoothing Activities

We examine how customer concentration affects managers’ income smoothing incentives to signal their private information about risk and future earnings. We find a negative relation between customer concentration and income smoothing, suggesting that improved information sharing from suppliers to customers through private channels reduces managers’ incentives to smooth earnings. To mitigate endogeneity issues, we perform (a) a change in variables analysis, (b) a propensity score matching approach, and (c) a two-stage least squares regression analysis. Finally, we document that managers’ income smoothing activities decrease as the length of the relationship between a supplier and its major customers increases, corroborating our main findings. Prior studies have paid relatively little attention to the effects of various stakeholders, especially customers, on managers’ income smoothing activities. Our study fills this void in the literature by illustrating that customer concentration is an important determinant of income smoothing incentives.
Investor Characteristics and Trading Activity in Different Market Conditions

Using a proprietary dataset comprising of the trading records of individual investors from a UK brokerage firm, we examine whether behavioural bias of individual investors is exacerbated by different market conditions. We find some evidence that investors who are prone to overconfidence trade more frequently following positive market conditions. Recent market volatility also induces more trading by these investors. We find investors who use the financial advisory services at the brokerage firm tend to trade more frequently. However, contrary to our expectations, advice-using investors’ responses to market conditions are not different from those who do not use the services.
Massive Growth of Banking Technology with the Aid of 5G Technologies

The advancement in information technology has resulted in explosive growth in banking technology like ATMs, internet banking and mobile banking. Banks which emphasize more on existing customer satisfaction and in attracting new customer have implemented online banking and mobile technology to make banking more convenient, attractive and simple. Computerization, wireless network, ATMS, internet banking and mobile banking can connect any customer of any bank in any branch with a customer in any other bank regardless of time, location or physical boundaries. With the widespread of banking technology, public users or customers could create an account from their smart phone without actually visiting the branch. 5G (Fifth generation wireless systems) is emerging mobile telecommunication standard beyond 4G in terms of speed, bandwidth, data transfer rate and signaling efficiency. Research and analysis of the new technology help in the popularity of the technology among public users. In this paper, we discuss and analyze new banking technology, which includes Digital Deposit Apps, Photo Bill Payment Apps, Smartphone Credit Card Scanners, Electronic Meeting, Advanced ATM Apps and Mobile Payment Apps. The new technologies are analyzed using its advantages, benefits, constraints and disadvantages. Wish this paper could play an active role in actual research of mobile banking technology.
Inspiring Future Entrepreneurs: The Effect of Experiential Learning on the Entrepreneurial Intention at Higher Education

The purpose of this study is to measure the influence of experiential learning on the entrepreneurial intention at higher education. To enable the research to measure experiential learning, the researchers used three dimensions as independent factors (empirical learning, Cognitive loading, and Self- efficacy) and on the other hand entrepreneurial intention at higher education as dependent factor. The study was carried out at private universities in Erbil. The researchers employed quantitative research method via adapting questionnaire from academic source and publish it online to gather information from participants. The questionnaire was distributed randomly among 120 academic and administrative staffs of private universities. The participants of the present study were 103 participants from different private universities in Kurdistan region of Iraq. The study developed three research hypotheses, the findings revealed that, as for the first research hypothesis found that an empirical Learning strongly predicts entrepreneurial intention, implying that empirical Learning would have a clear beneficial relationship with entrepreneurial intention. As for the second research hypothesis, it was found that a cognitive loading strongly predicts entrepreneurial intention, implying that cognitive loading would have a clear beneficial relationship with entrepreneurial intention, and lastly as for the third research hypothesis, it was found that self-efficacystrongly predicts entrepreneurial intention, implying that Floatationwould have a clear beneficial relationship with entrepreneurial intention.
Contracting in Peer Networks

We consider multi-agent multi-firm contracting when agents benchmark their wages to a weighted average of their peers, where weights may vary within and across firms. Despite common shocks, compensation benchmarking can undo performance benchmarking, so that wages load positively rather than negatively on peer output. Although contracts appear inefficient, when a single principal commits to a public contract, the optimal contract hedges agents’ relative wage risk without sacrificing efficiency. Moreover, the principal can exploit any asymmetries in peer effects to enhance profits. With multiple principals, or a principal that is unable to commit, a “rat race” emerges in which agents are more productive, but wages increase even more, reducing profits and undermining efficiency. Effort levels are too high rather than too low, and can exceed first best. Wage transparency and disclosure requirements exacerbate these effects.
Liquidity Shocks and Pension Fund Performance: Evidence From the Early Release Scheme

We study how expectations of fund flows causally affect fund performance by exploiting a quasi-natural experiment in the Australian pension system where an unexpected policy change temporarily allowed fund withdrawals from a pre-specified date in the future. Using fractions of young members, middle-aged members, and government co-contributions for low income earners as instrumental variables, we find an insignificant effect of expected fund outflows on fund performance. A potential explanation is that Australian superannuation funds preemptively engage in liquidity management in response to changes in expectations of future fund flows and that this helps to limit direct and indirect costs in the rebalancing process.
COVID-19 Pandemic, Stimulus Packages and Stock Returns in Vietnam

This paper investigates the impacts of COVID-19’s new cases and stimulus packages on the daily stock returns of five key economic sectors (Finance, Fast-moving-consumer-goods (FMCG), Healthcare, Oil and Gas, and Telecommunication) in Vietnam – one of the best countries in the world for handling COVID-19. The research team uses the Pool OLS method, with the panel data of 11 342 observations from 107 listed firms in these five sectors in the period January-June 2020. The key findings are (i) all sectors’ stock returns are negatively affected by daily new confirmed cases of COVID-19, the hardest hit is on the financial sector, followed by FMCG, healthcare, oil and gas, and telecommunications sectors. Vietnam did not have many affected cases, but low average income makes investors and consumers more careful and hesitate to spend/invest; (ii) in contrast to prior studies, stimulus packages did not accelerate the growth of stock returns in all sectors, with the order from most to least negatively affected: finance, oil and gas, telecommunication, healthcare, and FMCG. The slow implementation made investors skeptical of the growth potential of firms, they assess the stimulus packages as the signs of economic downturn. This fact leads to different recommendations for the Vietnamese Government in combating COVID-19.
Do Financial Markets Anticipate Corporate-Related Decisions of the United States Supreme Court?

This paper investigates stock and option market reactions to events in the United States Supreme Court (SC) relating to cases where at least one party involved is a public firm. Typically, cases that reach the SC level would have passed through multiple lower courts. Consequently, much of the information content of these cases would be publicly known. If the financial market had perfectly anticipated that the SC would grant the writ of certiorari (a rare event of accepting a case for review), the tone of the subsequent legal arguments, and the final decision, then there should be no reaction to any of these events, as and when they unfold. Using a comprehensive dataset of more than 500 SC cases from 1948 to 2018, we find that the stock market reacts to both the grant of certiorari and to the announcement of the final decision, suggesting that the stock market could not anticipate the SC actions. We also find that case-specific characteristics, such as parties involved, the type of legal issue, and press coverage explain some of the cross-sectional variations in the stock returns across cases. Our tests also indicate that there is no information leakage prior to the events, and no stock price drift after the events. We also find some evidence that the option market anticipates the final decision as early as the date certiorari is granted, reinforcing the theory that smart money comes early to the option market.
Assessing the Work Engagement, Work Practices and Work Performance in Banks

The aim of this study is to measure the importance of work engagement, high work practices, and their impact on employees’ work performance in the banking sector. This thesis was examined on three variables, work engagement, work practices, and work performance. In order to achieve this objective, this research adopted quantitative approach. For this, convenience sampling technique was used and survey questionnaire based on closed-ended questions and 06 scales. A total of 150 questionnaires was distributed and 127 valid responses collected. Data were analyzed through using Statistical Package for the Social Sciences (SPSS). To find out the result, Regression and Correlation test techniques were used. The key findings of the study propose that there is a significantly positive link between work engagement, work practices, and work performance. The conclusion of this examination might be very helpful for the Banking Sector in order to improve performance of their employees through keeping highly engaged in work and high involvement of work practices that contribute on the way to the achievement of the organization as well as employee’s personal accomplishment.
Bargaining over Royalties in the Shadow of Litigation

We model negotiations over patent royalties in the shadow of litigation through a Nash-in-Nash approach, where outside options, triggered in case of disagreement, are derived from a subsequent game of litigation. The outcome of litigation depends both on "hard determinants", such as relative patent strength, and on "soft determinants", such as parties' efficacy in litigation or their (known) preparedness to disrupt negotiations in favor of litigation. Amongst other things, this has implications for the interpretation of observed royalties in empirical analysis.