General Finance
Cross-sectional dispersion in firm-level realized skewness is significantly and negatively related to future stock market returns. The predictive power of skewness dispersion is robust to in-sample and out-of-sample estimation and is…
Extracting specific items from 10-K reports is challenging due to variations in document formats and item presentation. To improve over traditional rule-based approaches, this study introduces and compares two advanced item segmentation…
We investigate the role of foreign direct investment (FDI) and research and development (R\&D) in the transitional dynamics of host countries using an optimal growth model. FDI may benefit the host country's GNP by enabling multinational…
Agentic AI rivals human capabilities across a wide range of domains. Looking ahead, it is foreseeable that AI agents will autonomously handle complex workflows and interactions. Early prototypes of this paradigm are emerging, e.g., OpenClaw…
The article's aim is to provide a solution to the equity premium puzzle with a derived model. The derived model which depends on Consumption Capital Asset Pricing Model gives a solution to the puzzle with the values of coefficient of…
Applying reinforcement learning (RL) to foreign exchange (Forex) trading remains challenging because realistic environments, well-defined reward functions, and expressive action spaces must be satisfied simultaneously, yet many prior…
Do vulnerabilities in Decentralized Finance (DeFi) destabilize traditional short-term funding markets? While the prevailing ``Contagion Hypothesis'' posits that stablecoin reserve liquidations may transmit distress to traditional markets…
Since the formal introduction of its "dual-carbon" strategy in 2020, China has witnessed the concepts of green development and sustainability evolve from policy directives into a broad societal consensus. Within this transformative context,…
We study whether a risk-sensitive objective from asset-pricing theory -- recursive utility -- improves reinforcement learning for portfolio allocation. The Bellman equation under recursive utility involves a certainty equivalent (CE) of…
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
Recent advances in artificial intelligence (AI) and natural language processing (NLP) have enabled tools to support systematic literature reviews (SLRs), yet existing frameworks often produce outputs that are efficient but contextually…
Private credit assets under management grew from \$158 billion in 2010 to nearly \$2 trillion globally by mid-2024, fundamentally reshaping corporate credit markets. This paper provides a systematic survey of the academic literature on…
This article's aim is to provide the solution to the equity premium puzzle without using calibrated values. Calibrated values of subjective time discount factor were used in my prior derived models because 4 variables were determined from 3…
This paper studies the impact of funding market frictions on bond prices and market-wide liquidity. Using proprietary transaction-level data on all gilt-backed repo and reverse-repo trades, we demonstrate how the market power of individual…
We investigate whether the tails of firm-level idiosyncratic return distributions are driven by common shocks. We use quantile factor analysis to extract such common idiosyncratic quantile factors with asymmetric pricing effects and we find…
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…
We develop a stochastic macro-financial model in continuous time by integrating two specifications of the Keen economic framework with a financial market driven by a jump-diffusion process. The economic block of the model combines monetary…
Mention markets, a type of prediction market in which contracts resolve based on whether a specified keyword is mentioned during a future public event, require accurate probabilistic forecasts of keyword-mention outcomes. While recent work…
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information…
In this paper, we analyse the impacts of exogenous and endogenous factors on wealth distribution in the Bitcoin token economy, where wealth distribution refers to the distribution of BTC between economic participants or groups of economic…