Inflation expectation, monetary policy credibility, and exchange rates
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Seojin Lee, Young Min KimAbstractBased on the affine term structure model, we estimate the expected inflation and...
View ArticleAdvance notice labor conflicts and firm value—An event study analysis...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Zvika Afik, Roi Haim, Yaron LahavAbstractThe Israeli law has a special requirementâunions must announce a...
View ArticleBitcoin and the day-of-the-week effect
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): David Yechiam Aharon, Mahmoud QadanAbstractThe day-of-the-week effect is a well-known phenomenon in financial...
View ArticleCapital-market effects of securities regulation: Prior conditions,...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Douglas Cumming, Sofia JohanAbstractWhile it is not clear from Christensen, Hail, and Leuz (2016), the market abuse...
View ArticleBanking crises in developing countries–What crucial role of exchange...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Brahim Gaies, Stéphane Goutte, Khaled GuesmiAbstractWe examine the determinants of banking crises occurrence in...
View ArticleA readily computable commodity price index: 1900–2016
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Viviana FernandezAbstractThis article presents an extended version of Grilli and Yang (1988)âs non-fuel commodity...
View ArticleA note of techniques that mitigate floating-point errors in PIN estimation
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Wen-Chyan Ke, Hueiling Chen, Hsiou-Wei William LinSummaryThis study aims at the estimation of the probability of...
View ArticleHow do independent directors view powerful executive risk-taking incentives?...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Viput Ongsakul, Pornsit JirapornAbstractWe explore how independent directors view managerial risk-taking incentives...
View ArticleEstimating the monetary policy interest-rate-to-performance sensitivity of...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Bernd Hayo, Kai Henseler, Marc Steffen RappAbstractUsing an event-study design, we investigate monetary policy...
View ArticleHerding and flash events: Evidence from the 2010 Flash Crash
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Rıza Demirer, Karyl B. Leggio, Donald LienAbstractUsing intraday data on individual stocks included in the S&P...
View ArticleDo bullet trains affect earnings management? Evidence from China
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Bin Li, Wen Zheng, Chen MaAbstractThis study focuses on the relationship between bullet trains and earnings...
View ArticlePopularity Asset Pricing Model
Professor Roger Ibbotson is one of the most respected and influential researchers of the current era. His book "Stocks, Bonds, Bills, and Inflation" is a classic and often serves as a reference for...
View ArticleSEC Halts Ponzi scheme Targeting Seniors and Small Business Owners
The Securities and Exchange Commission today announced that it has filed an emergency action and obtained a temporary restraining order and asset freeze against two individuals and two companies they...
View ArticleMoneyScience: Is Julia the best language for quantitative finance?
Resource: Is Julia the best language for quantitative finance? https://t.co/sFgCPYvNH2 â moneyscience (@moneyscience) November 19, 2019
View ArticleMoneyScience: A Comparison of Programming Languages in Economics: An Update...
Resource: A Comparison of Programming Languages in Economics: An Update (2018, pdf) https://t.co/GJ4gcuL3QM â moneyscience (@moneyscience) November 19, 2019
View ArticleMoneyScience: Introduction to Computational Economics Using Fortran
Resource: Introduction to Computational Economics Using Fortran https://t.co/BHatZ8Zj1r â moneyscience (@moneyscience) November 19, 2019
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Regime Change and Value: A Follow up Post on Aramco
In my post from a couple of days ago, I valued Aramco at about $1.65 trillion, but I qualified that valuation by noting that this was the value before adjusting for regime change concerns. That comment...
View ArticleAlternative Investments: Investing By Numbers
Whatâs in the future for alternative investments asset management? A new publication from Ernst & Young, London, contends that allocations to alternative investments and are ârobust,â but...
View ArticleL'evy-Ito Models in Finance. (arXiv:1907.08499v2 [q-fin.MF] UPDATED)
We propose a class of financial models in which the prices of assets are L'evy-Ito processes driven by Brownian motion and a dynamic Poisson random measure. Each such model consists of a pricing...
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