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We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationships within the regimes identified. Our study unravels market…
In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by…
Extractive summaries are usually presented as lists of sentences with no expected cohesion between them and with plenty of redundant information if not accounted for. In this paper, we investigate the trade-offs incurred when aiming to…
What are the business causes behind tight deadlines? What drives the prioritization of features that pushes quality matters to the back burner? We conducted a survey with 71 experienced practitioners and did a thematic analysis of the…
We reverse-engineer the equilibrium construction process of asset prices in order to obtain returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely…
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves…
Many recent studies use individual longitudinal data to analyze job search behaviors. Such data allow the use of fixed-effects models, which supposedly address the issue of dynamic selection and make it possible to identify the structural…
We continue investigation of the effect of position in announcements of newly received articles, a single day artifact, with citations received over the course of ensuing years. Earlier work [arXiv:0907.4740, arXiv:0805.0307] focused on the…
We develop and evaluate a family of discrete-time logit-link (LLink) models (including fixed-effects and frailty extensions) to capture latent heterogeneity in repayment behaviour and quantify the effects of socio-temporal factors in…
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…
We analyze the dynamic tradeoff between generating and disclosing evidence. Agents are tempted to delay investing in a new technology in order to learn from information generated by the experiences of others. This informational free-riding…
The major perspective of this paper is to provide more evidence regarding how "quickly", in different macroeconomic states, companies adjust their capital structure to their leverage targets. This study extends the empirical research on the…
The lack of predictability of citation-based measures frequently used to gauge impact, from impact factors to short-term citations, raises a fundamental question: Is there long-term predictability in citation patterns? Here, we derive a…
This paper presents a novel approach to distinguish the impact of duration-dependent forces and adverse selection on the exit rate from unemployment by leveraging variation in the length of layoff notices. I formulate a Mixed Hazard model…
The major perspective of this paper is to provide more evidence into the empirical determinants of capital structure adjustment in different macroeconomics states by focusing and discussing the relative importance of firm-specific and…
Released Large Language Models (LLMs) are often paired with a claimed knowledge cutoff date, or the dates at which training data was gathered. Such information is crucial for applications where the LLM must provide up to date information.…
Leveraging contextual knowledge has become standard practice in automated claim verification, yet the impact of temporal reasoning has been largely overlooked. Our study demonstrates that time positively influences the claim verification…
We describe a simple model of how a publication's citations change over time, based on pure-birth stochastic processes with a linear cumulative advantage effect. The model is applied to citation data from the Physical Review corpus provided…
Financial event studies, ubiquitous in finance research, typically use linear factor models with known factors to estimate abnormal returns and identify causal effects of information events. This paper demonstrates that when factor models…
In time-series analysis, the term "lead-lag effect" is used to describe a delayed effect on a given time series caused by another time series. lead-lag effects are ubiquitous in practice and are specifically critical in formulating…