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Explaining the Stylized Facts of Foreign Exchange Markets with a Simple Agent-based Version of Paul de Grauwe’s Chaotic Exchange Rate Model
We propose a simple agent-based version of Paul de Grauwe’s chaotic exchange rate model. In particular, we assume that each speculator follows his...
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Mutual funds and stock fundamentals
This paper studies abnormal returns to mutual funds from using a firm fundamental trading strategy. We find that the abnormal returns and the Sharpe...
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Optimal convergence trading with unobservable pricing errors
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing...
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Nonlinear Relationship Between Investor Sentiment and Conditional Volatility in Emerging Equity Markets
The present study aims to identify the non-linear relationship of bullish and bearish investor sentiment with conditional volatility. It is conducted...
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Response of ETF flows and long-run returns to investor sentiment
ETFs combine features of open-end and closed-end funds. In this paper, we investigate how the unique characteristics affect ETFs’ response to...
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Does CSR governance matters for corporate value creation: exploring the nexus between corporate sustainability governance and investment efficiency of acquirers in Pakistan
This study examines the potential effects of corporate sustainability governance on the investment efficiency of asset acquirers. Using secondary...
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Has COVID-19 Pandemic Fear Affected Eurozone Stock Markets?
The aim of this paper is to analyze the impact of COVID-19 pandemic fear, proxied by Google search volume of the keyword coronavirus, on the stock...
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Option-Implied Skewness and the Value of Financial Intermediaries
In this paper, we analyze the relationship among skewness, value, and stock returns for US financial intermediaries. Further, we compare skewness...
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Regulatory interventions in response to noncompliance with mandatory derivatives disclosure rules
We investigate regulatory actions in response to violations of mandatory derivatives disclosure rules (SFAS 161) and the outcomes of these regulatory...
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Machine learning-based stock picking using value investing and quality features
Value Investing stands as one of the most time-honored strategies for long-term equity investment in financial markets, specifically in the domain of...
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Illicit financial flows and extractive commodities: false claims in an UNCTAD report
A report by UNCTAD on illicit financial flows claims that misinvoicing of extractive commodity exports accounts for very large illicit financial...
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Is tax return information useful to equity investors?
I examine whether tax return information is useful to equity investors. I do so indirectly, by exploiting unique features of the syndicated loan...
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The Market Model
The famed capital asset pricing model (CAPM) of Treynor (1962), Sharpe (1964), Lintner (1965), and Mossin (1966) is surprisingly elegant in...
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The value of expected return persistence
This work utilizes the fractional Black–Scholes model to estimate the option-implied Hurst exponents, interpreted as forward-looking expectations of...
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Revisiting Paul de Grauwe’s Chaotic Exchange Rate Model: New Analytical Insights and Agent-Based Explorations
We apply recent stability and bifurcation results to provide an analytical characterization of Paul de Grauwe’s chaotic exchange rate model. We prove...
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Agency Problem, Managerial Control, and Projects’ Interactions
This chapter, which is mainly based on Lin and Liu (Kybernetes: The International Journal of Cybernetics, Systems and Management Science...
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Investment Styles in Digital Assets
In the early days of the asset pricing literature, researchers applied portfolio sorts to explore the cross-section of (equity) returns. In the...
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Transfer pricing and corporate social responsibility: arguments, views and agenda
The central thesis of the paper is that multinational companies (MNC) should invest in the use of “soft” methods (socially responsible behavior) to...
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Portfolio Performance Measures
The true market portfolio of the CAPM on the efficient frontier (located at the tangent point of the line extending from the riskless rate) is not...