Miracle-dz/UniFAR-FTUs huggingface dataset:
A Wavelet-Based Study of Systematic Risk: The Public Real Estate Markets Case

In this study, we examine the dynamics of real estate local and global betas using a novel approach - wavelet analysis on nine Asia-Pacific and the US public real estate markets from January 1995 to June 2016. Specifically, Wavelets are localized in both time and scale, and can be used to filter data up into different frequency components. We appeal to the continuous wavelet transform to estimate the two real estate betas across the usual three investment horizons (short-run, medium-term and long-run), as well analyze their dynamic causality relations in asset pricing from the time-frequency perspective. The main empirical insight is that both real estate local beta and real estate global beta coefficients have a time-scale tendency in sample real estate markets. Their joint market risk increases in the long-run at both the local and global levels. The causal relationship between the real estate local/global betas of the US and Asian real estate markets is the strongest at longer time horizons. Moreover, there is non-linear causal relationship between real estate global beta and real estate local beta in all three investment horizons, with a strong feedback relationship exists between the two real estate beta measures in the medium-term for 80% of the sample real estate markets. A better understanding regarding the implications for real estate capital market securitization and market integration at the local and international levels has become important because international financial markets have become increasingly interdependent with continuing liberalization of cross-border capital flows.
Legal Environment, Capital Structure and Firm Growth: International Evidence from Industry Data

This paper investigates the effects that economic regulations have on firm growth. There is substantial evidence of a positive relationship between the level of financial development and economic growth. Little is known, about the role played by the legal structure affecting firm decision making on growth. We analyse banking regulation, disclosure requirements, company and bankruptcy laws, accountancy norms and rules about market competition. We find evidence that the efficiency of the legal environment affects significantly firm growth. We show that this result is unlikely to be driven by omitted variables. We also show that institutional framework impacts the influence of financial development on growth. We find that comprehensive shareholder and creditor protection affects more positively those sectors which are more externally financed; however disclosure requirements hinder the results of those industrial sectors that are more externally financed.
Optimal Exercise Decisions under Inattention

In decision problems, frictions as well as constraints play an increasingly important role. Especially, optimal timing problems can be affected by potentially “non-rational” behavior of the decision maker which is not incorporated in the standard theory. A relevant problem of this kind is the real option to abandon a project. Limited cognitive resources and external restrictions to option exercise may result in a suboptimal outcome. The term inattention can summarize such frictions and constraints. In this paper, we address this issue by proposing a Markovian model to value American-style contracts of agents who are temporarily inattentive. Exercise decisions maximizing the contract’s payoff are not admissible continuously but at random intervention times arriving with possibly state and time dependent intensities. An optimal stopping problem provides the contract value. It is converted to optimal control which, given sufficient regularity, induces a characterisation in terms of a partial integro differential equation. We consider three numerical approaches, forward improvement iteration, least squares Monte-Carlo and finite differences, each corresponding to one particular characterization of the contract value. Our adapted least squares Monte-Carlo method can treat complex and possibly multi-dimensional settings.
Committing to Widespread Disclosure of Carbon Impact

The last decade has experienced an important expansion of openness on firm environmental practices and an increased level of environmental disclosure. An open question remains, however, on the extent to which firms fully commit to the principle of widespread disclosure of their impact on the environment, as opposed to meeting minimum standards of disclosure. We utilize a longitudinal study on a large panel of firms worldwide which have published their carbon emissions between 2008 and 2011 to show that the level of carbon management involvement by the firm and exposure to environmental regulations increases the propensity for widespread environmental disclosure. Moreover, larger companies and highly leveraged firms tend to communicate broadly on their carbon footprint, consistent with the increased demand for information from stakeholders in such firms.
Budgetary Institutions and Fiscal Performance in Egypt: Is There a Link?

Budgetary institutions have been playing a crucial rule in explaining the varying fiscal performance among different countries. Both theoretical and empirical literature support the idea that budgetary institutions matter for the distribution of power among the key relevant players involved in the budgeting processes, and that they are expected to affect the ultimate outcomes of the fiscal policy. In light of this context, this paper assesses the quality of Egypt's budgetary institutions alongside each of the main phases of the budget cycle, and it analyzes how such institutions may affect the country's overall fiscal performance. The analysis shows that Egypt's fiscal performance can be improved if budgetary institutions, especially those related to transparency and sustainability issues, are strengthened.
The Effects of Margin Trading on Earnings Management: A Natural Experiment from China

This paper investigates the impact of margin trading on firms' financial reporting. Using a difference-in-differences (DID) approach that exploits staggered elimination of margin trading bans, it reports a significant effect of margin trading on earnings management. Treated firms increase discretionary accruals and real earnings management by around 1.2% and 2% of total assets, respectively. Consistent with the theory of short-termism in speculative markets, the amplification effect of margin trading allows managers to inflate earnings to effectively increase respective stock prices and sell the stocks to potentially overoptimistic investors in the near future. The results are robust to alternative estimations.
CSR as Value Attunement within Governance Processes: Stakeholder Dialogue, Corporate Principles and Regulation

I argue that a governance perspective on corporate social responsibility (CSR) makes it possible to explain why the concept will always be under‐defined, is normative and thus political by nature, and is and should be difficult to measure. The perspective also makes it possible to understand the interaction between corporate values and stakeholders values. In processes of dialogue within governance systems and governance structures, changing insights into the principles of CSR can lead to regulation or its adjustment. Power is important in these dialogues. Principles are at least partly shaped within governance systems and governance structures, and they influence the outcomes of corporate policies. Changes within the regulatory framework could also lead to changes in the principles of CSR. Value attunement processes could lead to regulation, which again influences the governance structures and thus the power of stakeholders within the dialogue. The theoretical model provided helps to analyze why CSR is different in companies, cultures and academic traditions.
The Real Effects of Implicit Government Guarantee: Evidence from Chinese SOE Defaults*

We study the effects of implicit government guarantee (IGG) on corporate investment by exploiting a series of defaults in China’s onshore bond markets by state-owned enterprises (SOEs) starting in 2015. We find that SOEs reduce their investments by 2.4% of book assets, on average, relative to propensity-score matched non-SOEs in the periods after the first SOE default. The investment reduction concentrates among SOEs with more severe agency problems. SOEs experience more positive market reactions to acquisition announcements after the default events. Our findings suggest that the reduction of IGG alleviates the soft budget constraint problem and disciplines SOE managers.
Measuring Accounting Asset Informativeness

We develop and validate an empirical measure of the informativeness of accounting assets in measuring firm-specific economic capital, an important determinant of both cash flows and intrinsic values. Our validation tests show that the asset informativeness measure is sensitive to differences in both accounting methods and implementation decisions at the firm level, and corresponds to the way equity investors use the information in accounting assets. We find that accounting assets contain substantial information about firms' productive capacity (economic capital) and the information is not summarized in several earnings attributes often associated with earnings quality.
An Economic Analysis of Corporate Directors' Fiduciary Duties

This paper studies how the legal liability rules for directors can be optimally designed to provide them with the incentives to fulfill their fiduciary duties and to maximize ex-ante firm value. I present a principal-agent model where the shareholders can obtain a verifiable but costly and imperfect signal on the director's fulfillment of his fiduciary duties by taking legal action against him. This allows the firm to make the director's remuneration contingent not only on performance but also upon the court's decision.The paper shows that, when damages awards are high, the widespread use of liability insurance and limited liability provisions that is observed in the US is optimal because it allows shareholders to credible commit to an optimal suing strategy. The results on the use of liability insurance are maintained when the parties can settle out of court.
Do Capital Markets Punish Managerial Myopia? Evidence from Myopic R&D Cuts

The extant literature provides conflicting arguments on whether the capital market punishes managers’ myopic behavior. Stein (1988, 1989) argues that the capital market is myopic and will push managers to behave myopically. In contrast, Jensen (1988) believes that the capital market is efficient and will punish managerial myopia. However, empirical studies on how the stock market reacts to managerial myopia are scarce. This study aims to fill in this gap by examining how the capital market reacts to managerial myopia. Using managers’ cutting R&D to meet short-term earnings goals as a research setting, this study reveals that the capital market actually penalizes managerial myopia, especially for firms with high investor sophistication. Our results are consistent with Jensen’s (1988) contention that the security market is not shortsighted. Additionally, we document that compensation, especially cash compensation, could be one of the reasons why managers behave myopically.
Earnings Management around Secondary Equity Offerings by Insiders

The problem is author cannot isolate IPO incentives for earnings management (Hughes, 1986, Clarkson et al., 1992; Teoh, Welch, and Wong, 1998a, b; Heron and Lie, 2004; Ball and Shivakumar’s, 2008) because managers do manage earnings upwards before IPO and later downward after IPO. If managers avoid litigation from shareholders, they can choose not to manage earnings rather than managing less earnings. If investors think they may be misled about firm value, they can ask lower share price and managers do not need manage earnings. I think it should provide more evidence to persuade me. Of course, DuCharme et al. (2004) provide evidence that firms with upward earnings management face higher litigation risk. But, they can choose not to manage earnings so as to not face this litigation risk. However, the researchers argue that managers even manage earnings downwards to avoid. It is another matter because litigation risk can deter firms managing upward EM but does not mean they need to manage down. It needs to provide more prior works to show that firms with higher litigation risk are likely to manage earnings downwards. It is reasonable for firms managing upward after SEO.
Do Firms Hedge in Response to Tax Incentives?

There are two tax incentives for corporations to hedge: To increase debt capacity and interest tax deductions, and to reduce expected tax liability if the tax function is convex. We test whether these incentives affect the extent of corporate hedging with derivatives. Using an explicit measure of tax function convexity, we find no evidence that firms hedge in response to tax convexity. Our analysis does, however, indicate that firms hedge to increase debt capacity, with increased tax benefits averaging 1.1 percent of firm value. Our results also indicate that firms hedge because of expected financial distress costs and firm size.
Managing Identities in Multi-Level Organizations: The Joint Effect of Social Distance and Social Value Orientation on Budget Reporting

In multi-level organizations, BU employees create budgetary slack from which the entire business unit may benefit but doing so causes agency costs for the organization. Relying on social identity theory, we predict and find, in data gathered by means of an experiment, that shortening the social distance between the owner and BU employees reduces budgetary slack among the prosocial BU employees by decreasing reported costs and increasing the frequency of owner-favoring reports. A shortened social distance from the owner has, however, little impact on the reporting behavior of proself BU employees. Consistent with our theory, we find that the interactive effect of social distance and social value orientation on budgetary slack is mediated by BU employees’ identification with the organization relative to the business unit. Our study offers novel insights on a potential role and a boundary condition of shortening the social distance from lower-level employees, which is an increasingly popular informal control practice, for shaping identity formation and reducing agency costs in multi-level organizations.
Propuesta de Modelo: Personalidad de Marca en Cadenas de Farmacias en Chile (Model Proposal: Brand Personality of Chain Drug Stores in Chile)

<b>Spanish Abstract:</b> La presente investigación propone un modelo de personalidad de marca en el contexto de las Cadenas de Farmacias en Chile, denominado «Pharmacy Chains Brand Personality» (PCBP). Esta propuesta considera principalmente el modelo desarrollado por Aaker (1997), pero se adapta a los rasgos y dimensiones propias de la industria farmacéutica. Para identificar las dimensiones propuestas para este estudio se efectuaron una serie de procedimientos exploratorios de carácter cualitativo, tales como cuestionarios semiestructurados, entrevistas en profundidad y grupos focales, además de una extensa revisión de la literatura. Analizando los resultados obtenidos, se deduce que la naturaleza del modelo es de carácter multidimensional, ya que está conformada por 5 dimensiones: transparencia, ambición, social, sinceridad y competencia. Esta investigación pretende aportar una propuesta de modelo a la literatura, como una aproximación investigativa a esta industria, la cual fue afectada por uno de los casos más importantes de colusión en Chile. <b>English Abstract:</b> This research proposes a model of brand personality in the context of Chain Drug Stores in Chile, known as ‘Pharmacy Chains Brand Personality’ (PCBP). This proposal mainly considers the model developed by Aaker (1997), but adapted to the features and characteristics of the pharmaceutical industry dimensions. To identify the dimensions proposals for this study, a series of exploratory qualitative procedures such as was made: semi-structured questionnaires, interviews and focus groups, plus an extensive review of the literature. Analyzing the results, it follows that the nature of the model is multidimensional character, since it consists of five dimensions: Transparency, Ambition, Social, Sincerity and Competence. This research aims to provide a model proposal to literature, as an investigative approach to this industry, which was affected by one of the most important cases of collusion in Chile.
Does Risk Explain Persistence in Private Equity Performance?

In this paper, we investigate whether fund-specific risk helps explain performance persistence in private equity funds, using detailed deal-level cash flow information at both the fund and deal levels. We further extend existing findings to international evidence on buyout and venture capital (VC) by testing the impact of various risk measures. We find that risk is an important driver of performance persistence and helps explain such persistence. We also find persistence in risk in private equity, in particular persistence in downside volatility for both buyout and VC funds. Finally, we document that fund performance is more strongly affected by fund managers able to minimize downside losses than selecting outperforming portfolio companies. This effect is strongest for buyout but, to a weaker extent, also holds for VC. Our results are further robust to controlling for legal factors at the country level.
Charles A. Dice Center for Research in Financial Economics Risk management, firm reputation, and the impact of successful cyberattacks on target firms

We develop a model where a firm has an optimal exposure to cyber risk. With rational, fully informed agents and with no hysteresis, a successful cyberattack should have no impact on a financially unconstrained target’s reputation and post-attack policies. In contrast, when a successful attack involves the loss of personal financial information, there is a significant shareholder wealth loss, which is much larger than the attack’s out-of-pocket costs. This excess loss is higher when the attack decreases sales growth more and lower when the board pays more attention to risk management before the attack. Further, an attack decreases a firm’s risk appetite as it beefs up its risk management and information technology and decreases the risk-taking incentives of management. Finally, successful cyberattacks adversely affect the stock price of firms in the target’s industry. These results imply that successful attacks with personal financial information loss provide adverse information about cyber risk to target firms, their stakeholders, and their competitors.
Investigation of Low Bioavailability Using Physiologically Based Pharmacokinetic Modeling: A Case Example (Lassbio-596)

Aim: Investigate the possible mechanism (s) of the poor bioavailability of a lipophilic compound in rats using the physiologically based pharmacokinetic (PBPK) modeling approach. Methodology: A rat PBPK model was constructed using data from intravenous administration, and verified by comparing predicted tissue concentrations (kidneys, liver and lungs) with experimental Method Article Vieira et al.; BJAST, 5(6): 613-620, 2015; Article no.BJAST. 2015.059 614 data from tissue distribution studies. Using parameter sensitivity analysis, the model was used to investigate the absorption characteristics of the compound and the probable causes of the low absorbed fraction. Results: Sensitivity analysis of absorption parameters was performed to understand the absorption characteristic of the compound in regard to permeability, solubility and intra-gut degradation. Taking in consideration the latter factor, the oral pharmacokinetics of the tested compound was satisfactorily predicted in rats. Conclusion: The PBPK simulation results suggest that chemical or/and bacterial degradation of the compound in the gastrointestinal tract may be a probable cause of the low bioavailability observed.
Review of Recent Research on Improving Earnings Forecasts and Evaluating Accounting-Based Estimates of the Expected Rate of Return on Equity Capital

We extend Easton’s (2007) review of the literature on accounting-based estimates of the expected rate of return on equity capital, which we refer to as the ERR. We begin by reiterating the reasons why accounting-based estimates are used. Next, we briefly review the recent literature that focuses on improving forecasts of expected earnings by either: (1) removing predictable errors from analysts’ forecasts of earnings or (2) developing cross-sectional regression-based estimates of earnings using prior-period financial data. In the remainder of our review we discuss a recent debate on methods for evaluating estimates of the ERR. We highlight the key points in the debate so that the reader will find it easier to form an independent view of the relative merits of the proposed methods.
Direct Adaptive Control for a Class of Nonlinear Systems

Although sliding mode control is simple and insensitive to uncertainties and disturbances, control input chattering is the main problem in the sliding mode controller (SMC). In the paper, the fuzzy neural networks sliding mode controller (FNNSMC) is presented firstly for a class of nonlinear systems. The FNNSMC can eliminate the chattering indeed and has more robustness than the SMC. However the tracking error of the FNNSMC is larger than that of the SMC. Since in some cases small tracking error is very important, based on the FNNSMC, a direct adaptive control scheme is presented where the FNNSMC and the sliding mode controller with dead zone (SMCDZ) are incorporated by the smooth transformation. This methodology can eliminate the high frequency chattering efficiently and obtain good tracking behavior. The simulation results demonstrate the advantages of the adaptive scheme.
Are We There Yet? Analyzing Progress in the Conversion Funnel Using the Diversity of Searched Products

The conversion funnel is a model describing the stages consumers go through in their journey toward a purchase. This journey often lasts several days to weeks and can include multiple visits to a seller’s website. A large body of literature has focused on using observable search patterns to identify consumers’ hidden purchasing stages and to estimate their likelihood of conversion. We propose a novel set of measures to better reveal the consumer’s hidden stage in the funnel. These measures are based on the diversity of the searches that a customer engages in while browsing an e-commerce website, and they include not only the number of different products that are searched for, but also measures that rely on unobserved similarities among products, captured in a product network (in which products are assumed to be “similar” if they are frequently co-searched). We operationalize and evaluate our proposed measures using a large-scale dataset from a medium-sized tourism website used for comparing and booking flights. We estimate a hidden Markov model to show that our proposed diversity measures are associated with progress in the funnel and consumers’ conversion likelihood. Specifically, we show that consumers go through different distinguishable stages (states) in their journey, characterized by different values of our proposed diversity measures. To demonstrate the managerial and business implications of our theory, we show that incorporating search-diversity measures into a baseline prediction model significantly improves the model’s performance in predicting purchase likelihood and churn.