General Finance
This project is a collaboration between industry and academia to delve into Finance Social Networks, specifically the Board of Directors of public companies. Knowing the connections between Directors and Executives in different companies…
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from…
Many active funds hold concentrated portfolios. Flow-driven trading in these securities causes price pressure, which pushes up the funds' existing positions resulting in realized returns. We decompose fund returns into a price pressure…
We study the data-generating processes for factors expressed in return differences, which the literature on time-series asset pricing seems to have overlooked. For the factors' data-generating processes or long-short zero-cost portfolios, a…
This study aims to analyze the impact of financial literacy, social capital and financial technology on financial inclusion. The research method used a quantitative research method, in which questionnaires were distributed to 100 active…
In this paper, we study mid-cap companies, i.e. publicly traded companies with less than US $10 billion in market capitalisation. Using a large dataset of US mid-cap companies observed over 30 years, we look to predict the default…
This paper introduces a novel methodology for index return forecasting, blending highly correlated stock prices, advanced deep learning techniques, and intricate factor integration. Departing from conventional cap-weighted approaches, our…
In a series of papers, Ole Peters and his collaborators claim that the 'conceptual basis of mainstream economic theory' is 'flawed' and that the approach they call 'ergodicity economics' gives 'reason to hope for a future economic science…
Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can stem either from the internal dynamics inherent to the system…
Entities like centralized cryptocurrency exchanges fall under the business category of virtual asset service providers (VASPs). As any other enterprise, they can become insolvent. VASPs enable the exchange, custody, and transfer of…
This paper investigates the potential of blockchain-based fan tokens, a class of crypto asset that grants holders access to voting on club decisions and other perks, as a mechanism for stimulating democratized decision-making and fan…
We propose a new non-linear single-factor asset pricing model $r_{it}=h(f_{t}\lambda_{i})+\epsilon_{it}$. Despite its parsimony, this model represents exactly any non-linear model with an arbitrary number of factors and loadings -- a…
This review considers the Universities Superannuation Scheme (USS) valuations from 2014 to 2023. USS is a 70-80 billion GBP Defined Benefit pension scheme with over 500,000 members who are employed (or have been employed) at around 70 UK…
We discuss the economic reasons why the predictions of price and return statistical moments in the coming decades, in the best case, will be limited by their averages and volatilities. That limits the accuracy of the forecasts of price and…
Many scholars have called for raising statistical hurdles to guard against false discoveries in academic publications. I show these calls may be difficult to justify empirically. Published data exhibit bias: results that fail to meet…
This study examines the performance of a volatility-based strategy using Chinese equity index ETF options. Initially successful, the strategy's effectiveness waned post-2018. By integrating GARCH models for volatility forecasting, the…
Public finances are one of the fundamental mechanisms of economic governance that refer to the financial activities and decisions made by government entities to fund public services, projects, and operations through assets. In today's…
National football teams increasingly issue tradeable blockchain-based fan tokens to strategically enhance fan engagement. This study investigates the impact of 2022 World Cup matches on the dynamic performance of each team's fan token. The…
Banks' performance is an important topic for both professionals and researchers. Given the important literature on this subject, this paper aims to bring an up-to-date and organized review of literature on the determinants of banks…
Big data revolutionizes accounting and auditing, offering deep insights but also introducing challenges like data privacy and security. With data from IoT, social media, and transactions, traditional practices are evolving. Professionals…