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Outputs (133)

The Spectral Approach to Linear Rational Expectations Models (2024)
Journal Article
Al-Sadoon, M. (online). The Spectral Approach to Linear Rational Expectations Models. Econometric Theory, https://doi.org/10.1017/S026646662400029X

This paper considers linear rational expectations models in the frequency domain. The paper characterizes existence and uniqueness of solutions to particular as well as generic systems. The set of all solutions to a given system is shown to be a fini... Read More about The Spectral Approach to Linear Rational Expectations Models.

Born to Behave: Home CEOs and Financial Misconduct (2024)
Journal Article
Lei, Z., Petmezas, D., Rau, P. R., & Yang, C. (in press). Born to Behave: Home CEOs and Financial Misconduct. Review of Accounting Studies,

We examine the association between CEO birthplace proximity and financial misconduct. We find that CEOs managing firms near their birthplaces ("home CEOs") are associated with lower levels of financial misconduct compared to non-home CEOs. This assoc... Read More about Born to Behave: Home CEOs and Financial Misconduct.

Does Fed communication affect uncertainty and risk aversion? (2024)
Journal Article
Chau, F., Deesomsak, R., & Shaikh, R. (online). Does Fed communication affect uncertainty and risk aversion?. Review of Quantitative Finance and Accounting, https://doi.org/10.1007/s11156-024-01318-9

This paper examines whether the Federal Reserve (Fed) communication has significant impact on the level of uncertainty and risk aversion in the U.S., U.K., and Eurozone equity markets. We first apply computational linguistic tools to the Federal Op... Read More about Does Fed communication affect uncertainty and risk aversion?.

Non-standard errors (2024)
Journal Article
Bogoev, D., Karam, A., & et al. (2024). Non-standard errors. Journal of Finance, 79(3), 2339-2390. https://doi.org/10.1111/jofi.13337

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence generating proce... Read More about Non-standard errors.

Forecasting the Effective Reproduction Number during a Pandemic: COVID-19 Rt forecasts, Governmental Decisions, and Economic Implications (2023)
Journal Article
Nikolopoulos, K., & Vasilakis, C. (2024). Forecasting the Effective Reproduction Number during a Pandemic: COVID-19 Rt forecasts, Governmental Decisions, and Economic Implications. IMA Journal of Management Mathematics, 35(1), 65-81. https://doi.org/10.1093/imaman/dpad023

This research empirically identifies the best-performing forecasting methods for the Effective Reproduction Number Rt of COVID-19, the most used epidemiological parameter for policymaking during the pandemic. Furthermore, based on the most accurate f... Read More about Forecasting the Effective Reproduction Number during a Pandemic: COVID-19 Rt forecasts, Governmental Decisions, and Economic Implications.

COVID-19 and emerging markets: A SIR model, demand shocks and capital flows (2023)
Journal Article
Cakmaklı, C., Demiralp, S., Kalemli Ozcan, S., Yesiltas, S., & Yıldırımk, M. A. (2023). COVID-19 and emerging markets: A SIR model, demand shocks and capital flows. Journal of International Economics, 145, Article 103825. https://doi.org/10.1016/j.jinteco.2023.103825

We quantify the macroeconomic effects of COVID-19 for a small open economy. We use a two-country framework combined with a sectoral SIR model to estimate the effects of collapses in foreign demand and supply. The small open economy... Read More about COVID-19 and emerging markets: A SIR model, demand shocks and capital flows.

Sukūk Development and Income Inequality (2023)
Journal Article
Jatmiko, W., Ebrahim, M., & Smaoui, H. (2023). Sukūk Development and Income Inequality. Journal of International Financial Markets, Institutions and Money, 88, Article 101852. https://doi.org/10.1016/j.intfin.2023.101852

This paper investigates the link between sukūk development and income inequality by scrutinizing twenty-two countries’ data from 1995 to 2019. We employ the two-stage Fractional Regression Model to illustrate that sukūk issuance is associated with in... Read More about Sukūk Development and Income Inequality.

Uncertainty and Bubbles in Cryptocurrencies: Evidence from Newly Developed Uncertainty Indices (2023)
Journal Article
Chowdhury, M. S. R., & Damianov, D. S. (online). Uncertainty and Bubbles in Cryptocurrencies: Evidence from Newly Developed Uncertainty Indices. International Review of Financial Analysis, 91, Article 102949. https://doi.org/10.1016/j.irfa.2023.102949

In this paper, we examine whether newly developed crypto price and policy uncertainty indices based on news coverage (Lucey et al., 2022) are associated with the emergence of bubbles in cryptocurrencies. Using probit regressions, we show that these i... Read More about Uncertainty and Bubbles in Cryptocurrencies: Evidence from Newly Developed Uncertainty Indices.

Value Uncertainty (2023)
Journal Article
Bali, T. G., Del Viva, L., Hefnawy, M. E., & Trigeorgis, L. (online). Value Uncertainty. Management Science, 70(7), 4167-4952. https://doi.org/10.1287/mnsc.2023.4888

We examine how time-series volatility of book-to-market (UNC) is priced in equity returns and the relative contributions of its book volatility (variations in earnings and book value) and market volatility components (shocks in required return). UNC... Read More about Value Uncertainty.

Conflicted Analysts and Initial Coin Offerings (2023)
Journal Article
Barth, A., Laturnus, V., Mansouri, S., & Wagner, A. F. (2023). Conflicted Analysts and Initial Coin Offerings. Management Science, 69(11), 6641-6666. https://doi.org/10.1287/mnsc.2021.02928

This paper studies the contribution of analysts to the functioning and failure of the market for initial coin offerings (ICOs). The assessments of freelancing analysts exhibit biases because of reciprocal interactions of analysts with ICO team member... Read More about Conflicted Analysts and Initial Coin Offerings.

Long-term dynamic asset allocation under asymmetric risk preferences (2023)
Journal Article
Kontosakos, V. E., Hwang, S., Kallinterakis, V., & Pantelous, A. A. (2023). Long-term dynamic asset allocation under asymmetric risk preferences. European Journal of Operational Research, 312(2), 765-782. https://doi.org/10.1016/j.ejor.2023.07.038

We examine the impact of return predictability and parameter uncertainty on long-term portfolio allocations when investors’ utility function quantifies their asymmetric behaviour against expected gains and losses on risky assets. Allowing for differe... Read More about Long-term dynamic asset allocation under asymmetric risk preferences.

Precautionary motive or private benefit motive for holding cash: Evidence from CEO ownership (2023)
Journal Article
Yin, C., Sun, W., & Zeng, Y. (2023). Precautionary motive or private benefit motive for holding cash: Evidence from CEO ownership. International Review of Financial Analysis, 90(November 2023), Article 102820. https://doi.org/10.1016/j.irfa.2023.102820

This study examines how CEO ownership affects the motivation of firms to hold cash. We document a monotonic and positive relationship between CEO ownership and cash holdings. The effect is more pronounced for firms with higher firm-specific risk and... Read More about Precautionary motive or private benefit motive for holding cash: Evidence from CEO ownership.

Flight to Lottery Ahead of FOMC Announcements: Institutional Investors or Retail Investors? (2023)
Journal Article
Guo, H., Hung, C. D., Kontonikas, A., & Zeng, Y. (2023). Flight to Lottery Ahead of FOMC Announcements: Institutional Investors or Retail Investors?. British Journal of Management, 35(2), 1076-1096. https://doi.org/10.1111/1467-8551.12755

This paper studies the pre-Federal Open Market Committee (FOMC) announcement drift at the stock level. We hypothesize that investors have a higher propensity to speculate before the monetary policy announcements by the FOMC, due to the resolution of... Read More about Flight to Lottery Ahead of FOMC Announcements: Institutional Investors or Retail Investors?.

Bitcoin Under the Microscope (2023)
Journal Article
Jahanshahloo, H., Irresberger, F., & Urquhart, A. (2023). Bitcoin Under the Microscope. The British Accounting Review, https://doi.org/10.1016/j.bar.2023.101237

This paper explores and describes historical on-chain transaction data recorded on the Bitcoin blockchain, constructs a panel of all individual Bitcoin users, and computes their balances in the cross-section and over time. We run clustering algorithm... Read More about Bitcoin Under the Microscope.

Coin concentration of Proof-of-Stake blockchains (2023)
Journal Article
Irresberger, F., & Yang, R. (2023). Coin concentration of Proof-of-Stake blockchains. Economics Letters, 229, Article 111219. https://doi.org/10.1016/j.econlet.2023.111219

This paper studies the concentration of block production in selected Proof-of-Stake (PoS) blockchains and finds evidence consistent with participants entering and leaving the consensus process, thereby changing the concentration level, but not with d... Read More about Coin concentration of Proof-of-Stake blockchains.

Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic (2023)
Journal Article
Elsayed, A. H., Ahmed, H., & Husam Helmi, M. (2023). Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic. Journal of International Financial Markets, Institutions and Money, 85, https://doi.org/10.1016/j.intfin.2023.101784

Existing literature on spillovers and connectedness between Islamic and conventional financial markets overlooked the fundamental role played by money markets in volatility spillovers and risk transmission across markets. That being so, this paper ai... Read More about Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic.