Related papers: The missing assets and the size of Shadow Banking:…
This paper introduces a new framework to quantify distance between finite sets with uncertainty present, where probability distributions determine the locations of individual elements. Combining this with a Bayesian change point detection…
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient weight of market participants are…
The diversity of corporate social responsibility (CSR) disclosure is a crucial dimension of corporate transparency, reflecting the breadth and resilience of a firm's social responsibility. Using CSR reports of Chinese A-share firms from…
We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order…
When a model informs decisions about people, distribution shifts can create undue disparities. However, it is hard for external entities to check for distribution shift, as the model and its training set are often proprietary. In this…
A negative basis trade enters a long bond position and buys protection on the issuer of the bond through credit default swap (CDS), aiming at arbitrage profit due to the bond-CDS basis. To classic reduced form model theorists, the existence…
The growth of business firms is an example of a system of complex interacting units that resembles complex interacting systems in nature such as earthquakes. Remarkably, work in econophysics has provided evidence that the statistical…
We study size and growth distributions of products and business firms in the context of a given industry. Firm size growth is analyzed in terms of two basic mechanisms, i.e. the increase of the number of new elementary business units and…
In this paper, we propose ex-ante characteristics that predict the drop in risk-adjusted performance out-of-sample for a large set of stock anomalies published in finance and accounting academic journals. Our set of predictors is generated…
As baby boomers have begun to downsize and retire, their preferences now overlap with millennials' predilection for urban amenities and smaller living spaces. This confluence in tastes between the two largest age segments of the U.S.…
Loss development modelling is the actuarial practice of predicting the total 'ultimate' losses incurred on a set of policies once all claims are reported and settled. This poses a challenging prediction task as losses frequently take years…
Spillover of economic outcomes often arises over multiple networks, and distinguishing their separate roles is important in empirical research. For example, the direction of spillover between two groups (such as banks and industrial sectors…
The Missing Satellites Problem (MSP) broadly refers to the overabundance of predicted Cold Dark Matter (CDM) subhalos compared to satellite galaxies known to exist in the Local Group. The most popular interpretation of the MSP is that the…
In this empirical paper we show that in the months following a crash there is a distinct connection between the fall of stock prices and the increase in the range of interest rates for a sample of bonds. This variable, which is often…
This paper uses firm-level data recorded in the AMADEUS database to investigate the distribution of labour productivity in different European countries. We find that the upper tail of the empirical productivity distributions follows a…
This paper studies how shocks to global banks' net worth transmit to Emerging Market Economies. Using the identification strategy of Ottonello and Song (2022), which isolates high-frequency surprises to banks' credit supply capacity, we…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…
This paper attempts to find a relationship between agents' risk aversion and inequality of incomes. Specifically, a model is proposed for the evolution in time of surplus/deficit distribution, and the long-time distributions are…
It is generally accepted that neighboring nodes in financial networks are negatively assorted with respect to the correlation between their degrees. This feature would play an important 'damping' role in the market during downturns (periods…
A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponent close to 3. We revisit this results and use standard tests as well as develop a…