相关论文: 150 Years of Return Predictability Around the Worl…
This paper considers an often forgotten relationship, the time delay between a cause and its effect in economies and finance. We treat the case of Foreign Direct Investment (FDI) and economic growth, - measured through a country Gross…
This paper is a quantitative analysis of the data collected globally by the World Value Survey. The data is used to study the trajectories of change in individuals' religious beliefs, values, and behaviors in societies. Utilizing random…
In the post-epidemic era, consumption recovery has obvious time and space transmission laws, and there are different valuation criteria for consumption segments. Using the A-share data of the consumption recovery stage from January to April…
We consider a generalization of the recursive utility model by adding a new component that represents utility of investment gains and losses. We also study the utility process in this generalized model with constant elasticity of…
For many households, investing for retirement is one of the most significant decisions and is fraught with uncertainty. In a classic study in behavioral economics, Benartzi and Thaler (1999) found evidence using bar charts that investors…
Debt recycling is a leveraged equity management strategy in which homeowners use accumulated home equity to finance investments, applying the resulting returns to accelerate mortgage repayment. We propose a novel framework to model equity…
Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariate time series pertaining to country inflation (CPI),…
We describe how the market-based average and volatility of the "actual" return, which the investors gain within their market sales, depend on the statistical moments, volatilities, and correlations of the current and past market trade…
Countries tend to diversify their exports by entering products that are related to their current exports. Yet this average behavior is not representative of every diversification path. In this paper, we introduce a method to identify…
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…
Humanity has been fascinated by the pursuit of fortune since time immemorial, and many successful outcomes benefit from strokes of luck. But success is subject to complexity, uncertainty, and change - and at times becoming increasingly…
The study investigates the relationship between bank profitability and a comprehensive list of bank specific, industry specific and macroeconomic variables using unique panel data from 23 Bangladeshi banks with large market shares from 2005…
Polynomial distribution can be applied to dynamical systems in certain situations. Macroeconomic systems characterized by economic variables such as income and wealth can be modelled similarly using polynomials. We extend our previous work…
The literature often employs moment-based earnings risk measures like variance, skewness, and kurtosis. However, under heavy-tailed distributions, these moments may not exist in the population. Our empirical analysis reveals that population…
We propose a method for obtaining joint probabilistic projections of migration rates for all countries, broken down by age and sex. Joint trajectories for all countries are constrained to satisfy the requirement of zero global net…
When selling many goods with independent valuations, we develop a distributionally robust framework, consisting of a two-player game between seller and nature. The seller has only limited knowledge about the value distribution. The seller…
The paper focuses on econometrically justified robust analysis of the effects of the COVID-19 pandemic on financial markets in different countries across the World. It provides the results of robust estimation and inference on predictive…
By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
We introduce new mathematical methods to study the optimal portfolio size of investment portfolios over time, considering investors with varying skill levels. First, we explore the benefit of portfolio diversification on an annual basis for…