Related papers: Zero-Leverage Puzzle
How does supply uncertainty affect the structure of supply chain networks? To answer this question we consider a setting where retailers and suppliers must establish a costly relationship with each other prior to engaging in trade.…
This paper proposes a model of tax compliance and fiscal capacity grounded in universalization reasoning. Citizens partially internalize the consequences of concealment by imagining a world in which everyone acted similarly, linking their…
We consider non-cooperative facility location games where both facilities and clients act strategically and heavily influence each other. This contrasts established game-theoretic facility location models with non-strategic clients that…
We study a monolayer of metal balls under periodic chiral driving in the horizontal plane. Energy dissipation occurs in this system via (i) inelastic collisions and (ii) frictional interaction with the substrate. We show that below a…
Social and economic inequality is a plague of the XXI Century. It is continuously widening, as the wealth of a relatively small group increases and, therefore, the rest of the world shares a shrinking fraction of resources. This situation…
Why do wages grow faster in bigger cities? We use French administrative data to decompose the urban wage growth premium and find that the answer has surprisingly little to do with cities themselves. While we document substantially faster…
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…
This study investigates the impact of female leadership on the financial constraints of firms, which are publicly listed entrepreneurial enterprises in China. Utilizing data from 938 companies on the China Growth Enterprise Market (GEM)…
Leveraged ETFs (L-ETFs) are exchange-traded funds that achieve price movements several times greater than an index by holding index-linked futures such as Nikkei Stock Average Index futures. It is known that when the price of an L-ETF…
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a non-zero-sum stochastic differential subgame. The…
Competing firms tend to select similar locations for their stores. This phenomenon, called the principle of minimum differentiation, was captured by Hotelling with a landmark model of spatial competition but is still the object of an…
Large Language Models (LLMs) are increasingly integrated into financial workflows, but evaluation practice has not kept up. Finance-specific biases can inflate performance, contaminate backtests, and make reported results useless for any…
The leverage effect refers to the well-established relationship between returns and volatility. When returns fall, volatility increases. We examine the role of the leverage effect with regards to generating density forecasts of equity…
Long Memory Stochastic volatility (LMSV) models capture two standardized features of financial data: the log-returns are uncorrelated, but their squares, or absolute values are (highly) dependent and they may have heavy tails. EGARCH and…
Zero-inflated explanatory variables are common in fields such as ecology and finance. In this paper we address the problem of having excess of zero values in some explanatory variables which are subject to multioutcome lasso-regularized…
Jarring events inspiring reflection, known as ``shocks" in the literature, are the motive force in explaining changes in employee embeddedness and retention within the unfolding model of labor turnover. Substantial research effort has…
In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of short-term market stabilization. This paper…
Our study shows that many firms would accumulate at zero output level (namely, Bankruptcy status) if a perfectly competitive market reaches full employment (namely, those people who should obtain employment have obtained employment). As a…
Firms engaged in electronic commerce increasingly rely on predictive analytics via machine-learning algorithms to drive a wide array of managerial decisions. The tuning of many standard machine learning algorithms can be understood as…
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a wealth process, with respect to which the relative wealth…