Research articles for the 2019-09-09

A Disaster Under-(Re)Insurance Puzzle: Home Bias in Disaster Risk-Bearing
Ito, Hiro,McCauley, Robert N.
The losses from the 2011 earthquakes in Japan remained in Japan, while reinsurance spread the losses from that year's New Zealand earthquake to the rest of the world.This paper finds that the Japanese case is more typical: losses from natural disasters are shared internationally to a generally very limited extent. This finding of home bias in disaster risk-bearing poses a puzzle of international risk-sharing. We decompose international risk-sharing into the portion of losses insured and the portion ofinsurance that is internationally re-insured. We find that the failure of international risk-sharing begins at home with low participation in insurance. Regression analysis points to economic development and institutional/legal quality as important determinants of insurance participation. We propose a new method to measure international reinsurance payments with balance of payments data. This method identifies for the first time the cross-border flow of reinsurance payments to 88 economies that experienced insured disasters in the 1985-2017 period. Regression analysis of these data points to small size and de facto financial integration as positively related to the reinsurance share, as one might expect. However, we also find that more internationally wealthy economies reinsure less, suggesting that net foreign assets substitute for international sharing of disaster risk. For advanced economies, a lack of international risk-sharing is correlated with a lack of fiscal space. Thus, the governments under more pressure to provide ex post government insurance through the budget have less room to manoeuvre to do so. At high levels of public debt, a lack of ex ante insurance can turn disaster risk into financial risk.

A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse games
Diego Zabaljauregui

Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets and other areas, but the difficulty in solving such problems has hindered their proliferation. Semi-analytical approaches make strong assumptions pertaining very particular cases. To the author's best knowledge, the only numerical method in the literature is the heuristic one we put forward to solve an underlying system of quasi-variational inequalities. Focusing on symmetric games, this paper presents a simpler and more efficient fixed-point policy-iteration-type algorithm which removes the strong dependence on the initial guess and the relaxation scheme of the previous method. A rigorous convergence analysis is undertaken with natural assumptions on the players strategies, which admit graph-theoretic interpretations in the context of weakly chained diagonally dominant matrices. A provably convergent single-player impulse control solver, often outperforming classical policy iteration, is also provided. The main algorithm is used to compute with high precision equilibrium payoffs and Nash equilibria of otherwise too challenging problems, and even some for which results go beyond the scope of all the currently available theory.

Accountability Asset Recovery: A Leadership and Sustainability Initiative Introduction Refresher Paper in the Series
Sheldon-London, Monika
Background: Since Rio, formally United Nations Conference on Environment and Development [UNCED] held in Rio de Janeiro, from 3rd to 14th June 1992 informally referred to as The Earth Summit, a practical way forward has eluded leadership specifically in regards to an accountability process. High instructions have been evaded and postponed by actors on the international economic front not due to the lack of vision, clarity or agency infrastructure, indeed, due to a missing link in the chain at follow through and is the topic of this research. Purpose: This paper discusses an investigation of the viability of an accountability initiative created by this writer in the capacity as project developer, whereby specific assets that qualify are recovered from wherever they have been accumulated into the respective Public Treasury. This paper analyzes answers to the question: How can Public Private Partnership facilitate accountability driven asset recovery? And tests the Hypothesis: Existing Legislation and Legal Statute can streamline Accountability Asset Recovery into a function of the Executive Branch, also referred to as Head of State, Office of the President, High Instructions and Summit Leadership.Methodology: An action research framework, functioning as a relay, to move the topic forward while simultaneously unveiling its hidden component parts and receiving signals as to which documents are relevant for the research, utilizing outgoing email, a url at Google and LinkedIn as an outgoing echo chamber with dialogue based public diplomacy providing the official feedback loop. Findings: The action research process has yielded substantial data and forward movement of the topic integrating knowledge with movement. Further, proves that dialogue based public diplomacy competence is the key to collaboration with summit leadership when instigating geo-political economic macro initiatives correspondent to the practice of Public Private Partnership within the vast confines of a participatory democracy. Discussions: Cues positioned in Media are utilized as building blocks in conjunction with summit leadership directives toward inclusive participation, [by citizenry not typically referred to as elites] SDG #16 inclusive society; resulting in this encouraging introduction within the framework of Conferences, Symposiums and Institutions for Collaboration in Economy, Leadership and Sustainability, Strategy and Competitiveness, Public Private Partnership, Institutional Change and for post graduate research.

Anti-Pledging Policy, CEO Compensation, and Investment
Bae, Jihun,Zhang, Ruishen
We study the implications of a recent governance practice promoted by proxy advisors, namely an anti-pledging policy, which limits managers' ability to unwind their equity-based compensation. Using a sample of S&P 1500 firms, we find that CEOs' pay-for-performance sensitivity (i.e., delta) and risk-taking incentives (i.e., vega) as well as firms' investment growth and investment-Q sensitivity decrease after the adoption of an anti-pledging policy. Meanwhile, adoption mitigates opposition from proxy advisors. Taken together, our findings suggest that limiting compensation flexibility to cater to proxy advisors may produce unfavorable outcomes for firms, which calls into question a one-size-fits-all approach to governance policies.

Bank Intermediation Activity in a Low Interest Rate Environment
Brei, Michael,Gambacorta, Leonardo,Borio, Claudio E. V.
This paper investigates how the prolonged period of low interest rates affects bank intermediation activity. We use data for 113 large international banks headquartered in 14 major advanced economies during the period 1994-2015. We find that low interest rates induce banks to shift their activities from interest-generating to fee-related and trading activities. This rebalancing is stronger for low capitalised banks.Banks also moderately adjust their funding structure, away from short-term market funding towards deposits. We observe a concomitant decline in the risk-weighted asset ratio and a reduction in loan-loss provisions, which is consistent with signs of evergreening.

Banking and Regulatory Responses to FinTech Revisited: Building the Sustainable Financial Service 'Ecosystems' of Tomorrow
Fenwick, Mark,Vermeulen, Erik P. M.
Over the last decade, FinTech â€" broadly defined as the use of new technologies to compete in the marketplace of financial institutions and intermediaries â€" has disrupted the financial services sector. In this paper, we revisit the question of how banks and regulators should respond.We argue that incumbent financial service providers can learn useful lessons from the experience of the most innovative companies and their efforts to navigate the new realities of doing business in a networked age. One of the striking features of successful large businesses with an established track record for sustained innovation has been their capacity to implement effective corporate venturing strategies that continually feed dynamic, technology-driven innovation (“borrowing the startup genie’s magic”). Here, we identify seven corporate venturing strategies adopted by the most innovative companies and argue that incumbent banks could utilize similar strategies in responding to FinTech. A crucial element of these strategies is a recognition of the value of “co-creation,” namely an inclusive, collaborative partnering between incumbents and non-traditional players. To implement this objective, incumbents need to become open “ecosystems” that absorb the skills and resources of the most dynamic startups. We argue that some banks are already moving in this direction and that this trend towards “unbundling” will likely continue.The paper ends with a discussion of the implications of such an account for regulators and regulatory design. In order to establish an effective ecosystem, regulators need to become active participants in these new ecosystems. We characterize this approach as “community-driven” regulatory design and identify some key features of such an approach.

Can a Deliberative Mindset Prompt Reduce Investors’ Reliance on Fake News?
Grant, Stephanie M.,Hodge, Frank D.,Seto, Samantha C.
We examine if prompting investors to be in a deliberative mindset reduces their reliance on financial news when the news is later revealed to be fake. Consistent with theory, results show that investors reduce their reliance on news revealed to be fake, and that this reduction is magnified for investors who were previously prompted to be in a deliberative mindset. Importantly, results also reveal that prompting investors to be in a deliberative mindset does not affect their judgments when the news is later revealed to be true. Our study contributes to research on fake news in the financial markets and has practical implications for investors when evaluating news that may be true or fake.

Climate Policy under Spatial Heat Transport: Cooperative and Noncooperative Regional Outcomes
Yongyang Cai,William Brock,Anastasios Xepapadeas,Kenneth Judd

We build a novel stochastic dynamic regional integrated assessment model (IAM) of the climate and economic system including a number of important climate science elements that are missing in most IAMs. These elements are spatial heat transport from the Equator to the Poles, sea level rise, permafrost thaw and tipping points. We study optimal policies under cooperation and noncooperation between two regions (the North and the Tropic-South) in the face of risks and recursive utility. We introduce a new general computational algorithm to find feedback Nash equilibrium. Our results suggest that when the elements of climate science are ignored, important policy variables such as the optimal regional carbon tax and adaptation could be seriously biased. We also find the regional carbon tax is significantly smaller in the feedback Nash equilibrium than in the social planner's problem in each region, and the North has higher carbon taxes than the Tropic-South.

Do Informational Cascades Happen with Non-myopic Agents?
Ilai Bistritz,Nasimeh Heydaribeni,Achilleas Anastasopoulos

We consider an environment where a finite number of players need to decide whether to buy a certain product (or adopt a trend) or not. The product is either good or bad, but its true value is not known to the players. Instead, each player has her own private information on the quality of the product. Each player can observe the previous actions of other players and estimate the quality of the product. A player can only buy the product once. In contrast to the existing literature on informational cascades, in this work players get more than one opportunity to act. In each turn, a player is chosen uniformly at random from all players and can decide to buy or not to buy. Her utility is the total expected discounted reward, and thus myopic strategies may not constitute equilibria. We provide a characterization of structured perfect Bayesian equilibria (sPBE) with forward-looking strategies through a fixed-point equation of dimensionality that grows only quadratically with the number of players. In particular, a sufficient state for players' strategies at each time instance is a pair of two integers, the first corresponding to the estimated quality of the good and the second indicating the number of players that cannot offer additional information about the good to the rest of the players. Based on this characterization we study informational cascades for the two cases of infinitely patient and not infinitely patient players. We show that for not infinitely patient players, informational cascades happen with high probability for a large number of players. Furthermore, only a small portion of the total information in the system is revealed before a cascade occurs. In addition, we show that for infinitely patient players, bad informational cascades can be avoided in some states of the world.

Does it Pay to Bet on Your Favourite to Win? Evidence on Experienced Utility from the 2018 FIFA World Cup Experiment
Kossuth, Lajos,Powdthavee, Nattavudh,Harris, Donna
This paper examined whether people gained significant emotional benefits from not engaging in emotional hedging â€" betting against the occurrence of desired outcomes. Using the 2018 FIFA World Cup as the setting for a lab-in-the-field experiment, we found substantial reluctance among England supporters to bet against the success of the England football team in the tournament. This decision not to offset a potential loss through hedging did not pay off in people's happiness following an England win. It was, however, associated with a sharp decrease in people's happiness following an England loss. Post-match happiness is relatively more stable among those who chose to hedge or were randomly allocated to hedge. We conclude that people do not hedge enough partly because they tend to overestimate the expected diagnostic cost of betting against their social identity, while underestimate the negative emotional impact from betting on their favourite to win when they did not win.

Efficiency Indexes in Resource Mobilisation â€" A Study of Andhra Prdesh State Financial Corporation
C, Viswanatha Reedy
The capital structure represents the mix of different sources of long-term funds in the total capitalization. Optimal capital structure is a financing-mix which maximizes the firms’ value/the shareholders’ wealth or minimizes its overall cost of capital. An appropriate capital structure helps as the basis for sound operations of a State Financial Corporation. The resource mix of APSFC mainly consists of equity share capital, reserves, bonds and debentures, refinancing from the IDBI and the RBI and loans in lieu of share capital, etc. Linking the borrowing powers with equity as per the provisions of the SFCs Act helps in the potentiality of the Corporation in lending operations. The Corporation heavily depends on debt finance by issuing bonds and debentures. A high degree of debt component in capital structure increases the risk and may lead to financial distress in adverse times. A high cost of funds employed makes very difficult to improve the profitability of the Corporation. Normally, the cost of bond financing of the Corporation is cheaper as compared to raising funds through equity because interest on debt is allowed as an expense for tax purposes. Therefore, a good and complete exercise on resource planning for short-term as well as long-term periods is a need of utmost importance to the Corporation in order to cater to the growing financial needs of industrial concerns. The present paper focuses on measuring the efficiency of the Corporation in its resource mobilization. Some important aspects like, resource mobilization, like, trends in resources and sanctions by the Corporation, cost of various sources of funds, cost of debt funds, weighted average cost of capital (LME-Index) and equity multiplier. At the end of the analysis some viable and useful suggestions are offered to tone up the performance of the Corporation for efficient funds management by the APSFC.

Geographic Spread of Currency Trading: The Renminbi and Other EM Currencies
Cheung, Yin-Wong,McCauley, Robert N.,Shu, Chang
This paper studies the ongoing diffusion of renminbi trading across the globe, the first such research of an international currency. It analyses the distribution in offshore renminbi trading in 2013 and 2016, using comprehensive data from the Triennial Central Bank Survey of Foreign Exchange and Over-the-Counter Derivatives Market Activity. In 2013, Asian centres favoured by the policy of renminbi internationalisation had big shares in global renminbi trading. In the following three years, renminbi trading seemed to converge to the spatial pattern of all currencies, with a half-life of seven to eight years. The previously most traded emerging market currency, the Mexican peso, shows a similar pattern, although it is converging to the global norm more slowly. Three other major emerging market currencies show a qualitatively similar evolution in the geography of their offshore trading. Overall the renminbi's internationalisation is tracing an arc from the influence of administrative measures to the working of market forces.

Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game
Kei Katahira,Yu Chen

This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented. Instead of herding behavior, we find that the emergence of volatility clustering can be induced by the heterogeneous wealth distribution among traders. In particular, the spontaneous redistribution of market wealth through repetitions of round-trip trades can widen the wealth disparity and establish the Pareto distribution of the capital size. In the meantime, large fluctuations in price return are brought on by the intermittent placements of the relatively big orders from rich traders. Empirical data are used to support the scenario derived from the model.

Insider information and its relation with the arbitrage condition and the utility maximization problem
Bernardo D'Auria,José Antonio Salmerón

Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of insider information. That is, we assume that, since the initial time, the information flow is altered by adding the knowledge of an additional random variable including future information. In this context we study the utility maximization problem under the logarithmic and the Constant Relative Risk Aversion (CRRA) utilities, with and without the restriction of no temporary-bankruptcy. For the latter case we obtain an optimal strategy different from the one computed in Pikovsky and Karatzas. We give various examples for which the insider information create arbitrage, and for which the logarithmic maximization problem is bounded or unbounded. We conclude with an interesting result, showing that the insider information may not lead to any arbitrage.

Manipulating Random Assignment: Evidence From Consumer Bankruptcies in the Nation's Largest Cities
Morrison, Edward R.,Pang, Belisa,Zytnick, Jonathon
Random case assignment is thought to be an important feature of decision-making in federal courts because it helps guard against favoritism (actual or perceived) toward particular parties or types of cases. In bankruptcy courts, cases are randomly assigned to both judges and trustees. In Chapter 7 cases, for example, the trustee is a quasi-judicial actor, typically a private-sector lawyer, who has been selected to audit the debtor's finances, find and liquidate assets, and police compliance with the law. We study three major bankruptcy jurisdictions (covering Chicago, Los Angeles, and parts of New York) and find that the random-assignment process for Chapter 7 trustees is failing in two of them (Chicago and New York). We introduce several measures of non-random assignment. Across all measures, random assignment is failing: Trustees within the same court have substantially different case characteristics, despite the purportedly random assignment process. We present evidence that the imbalance in case characteristics is caused by attorney manipulation: Attorneys strategically time their case filings to avoid or attract particular trustees ("trustee shopping''). By contrast, among cases filed by debtors who have not hired attorneys ("pro se filers''), there is no case imbalance across trustees. Because they do not engage in manipulation, pro se filers â€" who account for the bottom decile of income and asset values among Chapter 7 debtors â€" are the debtors most burdened by trustee-shopping by bankruptcy attorneys. We conclude by presenting evidence that trustee-shopping is less prevalent in Los Angeles due to differences in its random-assignment protocol.

Modular structure in labour networks reveals skill basins
Neave O'Clery,Eoin Flaherty,Stephen Kinsella

Labour networks, where industries are connected based on worker transitions, have been previously deployed to study the evolution of industrial structure ('related diversification') across cities and regions. Beyond estimating skill-overlap between industry pairs, such networks characterise the structure of inter-industry labour mobility and knowledge diffusion in an economy. Here we investigate the structure of the network of inter-industry worker flows in the Irish economy, seeking to identify groups of industries exhibiting high internal mobility and skill-overlap. We argue that these industry clusters represent skill basins in which skilled labour circulate and diffuse knowledge, and delineate the size of the skilled labour force available to an industry.

Deploying a multi-scale community detection algorithm, we uncover a hierarchical modular structure composed of clusters of industries at different scales. At one end of the scale, we observe a macro division of the economy into services and manufacturing. At the other end of the scale, we detect a fine-grained partition of industries into tightly knit groupings. In particular, we find workers from finance, computing, and the public sector rarely transition into the extended economy. Hence, these industries form isolated clusters which are disconnected from the broader economy, posing a range of risks to both workers and firms. Finally, we develop a methodology based on industry growth patterns to reveal the optimal scale at which labour pooling operates in terms of skill-sharing and skill-seeking within industry clusters.

Multivariate risk measures in the non-convex setting
Andreas Haier,Ilya Molchanov

The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite number of transfers are possible. The paper presents an approach to measure risks of such positions based on the idea of considering all selections of the portfolio and checking if one of them is acceptable. Properties and basic examples of risk measures of non-convex portfolios are presented.

Non-Salient Fees in the Mortgage Market
Liu, Lu
This paper studies supply-side product pricing when consumers underreact to non-salient fees. Using comprehensive data on issued and offered mortgages in the UK, I document that lenders differ substantially in the fees they charge, and that borrowers appear less overall cost-sensitive to products with fees. In order to distinguish from demand factors such as unobservable preferences or product characteristics, I show that lenders pass on firm-specific funding cost shocks via fees, but not interest rates, consistent with strategic pricing of fees, and maintaining competitive prices in the salient price dimension, interest rates. I further find heterogeneity in pricing across lenders: those who rely on high fees tend to have higher funding cost, lower return on equity and larger branch networks, in line with a specialization equilibrium in which high-cost lenders are able to match with less cost-sensitive consumers.

Regulator-based risk statistics for portfolios
Xiaochuan Deng,Fei Sun

The portfolio are a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of risk statistics from the perspective of regulator. This new risk statistic can be uesd for the quantification of portfolio risk. By further developing the properties related to regulator-based risk statistics, we are able to derive dual representation for them. Finally, examples are also given to demonstrate the application of this risk statistic.

Robust pricing and hedging of options on multiple assets and its numerics
Stephan Eckstein,Gaoyue Guo,Tongseok Lim,Jan Obloj

We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two numerical methods to solve such problems: using discretisation and linear programming applied to the primal side and using penalisation and deep neural networks optimisation applied to the dual side. We prove convergence for our methods and compare their numerical performance. We show how adding further information about call option prices at additional maturities can be incorporated and narrows down the no-arbitrage pricing bounds. Finally, we obtain structural results for the case of the payoff given by a weighted sum of covariances between the assets.

Securities Settlement Fails Network and Buyâ€'In Strategies
Gurrola-Perez, Pedro,He, Jieshuang,Harper, Gary
In the context of securities settlement, a trade is said to fail if on the settlement date either the seller does not deliver the securities or the buyer does not deliver funds. Settlement fails may have consequences for the parties directly involved and for the system as a whole. Chains of fails, for example, could lead to gridlock situations and large volume of fails can affect the liquidity and smooth functioning of financial markets. In this paper, we consider UK government bonds (gilts) and UK equities settlement data to examine the determinants of settlement fails and to explore the network characteristics of chains of settlement fails with the aim of identifying an optimal strategy to conduct a buyâ€'in process that could resolve cascades of fails.

Spillovers of Funding Dry-Ups
Aldasoro, Iñaki,Balke, Florian,Barth, Andreas,Eren, Egemen
We uncover a new channel for spillovers of funding dry-ups. The 2016 US money market fund (MMF) reform exogenously reduced unsecured MMF funding for some banks. We use novel data to trace those banks to a platform for corporate deposit funding. We show that intensified competition for corporate deposits spilled the funding squeeze over to other banks with no MMF exposure. These banks paid more for deposits, and their pool of funding providers deteriorated. Moreover, their lending volumes and margins declined, and their stocks underperformed. Our results suggest that banks' competitiveness in funding markets affect their competitiveness in lending markets.

Strategic Payments in Financial Networks
Nils Bertschinger,Martin Hoefer,Daniel Schmand

In their seminal work on systemic risk in financial markets, Eisenberg and Noe proposed and studied a model with $n$ firms embedded into a network of debt relations. We analyze this model from a game-theoretic point of view. Every firm is a rational agent in a directed graph that has an incentive to allocate payments in order to clear as much of its debt as possible. Each edge is weighted and describes a liability between the firms. We consider several variants of the game that differ in the permissible payment strategies. We study the existence and computational complexity of pure Nash and strong equilibria, and we provide bounds on the (strong) prices of anarchy and stability for a natural notion of social welfare. Our results highlight the power of financial regulation -- if payments of insolvent firms can be centrally assigned, a socially optimal strong equilibrium can be found in polynomial time. In contrast, worst-case strong equilibria can be a factor of $\Omega(n)$ away from optimal, and, in general, computing a best response is an NP-hard problem. For less permissible sets of strategies, we show that pure equilibria might not exist, and deciding their existence as well as computing them if they exist constitute NP-hard problems.

Supervisory Governance, Capture and Nonâ€'Performing Loans
Fraccaroli, Nicolò
Scholars have long believed the governance of banking supervision to affect financial stability. Although the literature has identified at length the pros and cons of having either a central bank or a separate agency responsible for microprudential banking supervision, the advantages of having this task shared by both institutions (shared supervision) have received considerably less attention. This paper fills this void by comparing the impact of three supervisory governance models â€" supervision by the central bank, by an agency or by both of them â€" on bank nonâ€'performing loans. Using a new database on supervisory governance in 116 countries from 1970 to 2016, it finds that supervisory governance per se does not significantly affect nonâ€'performing loans. However, it also finds that, where the risk of capture is high, shared supervision is associated with a significant reduction in nonâ€'performing loans. This is in line with the supervisory capture theory, whereby it is more costly to capture two supervisors rather than one. Overall, these results provide new evidence in support of the relevance of supervisory governance in hampering supervisory capture from the banking sector.

Systemic Risk Clustering of China Internet Financial Based on t-SNE Machine Learning Algorithm
Mi Chuanmin,Xu Runjie,Lin Qingtong

With the rapid development of Internet finance, a large number of studies have shown that Internet financial platforms have different financial systemic risk characteristics when they are subject to macroeconomic shocks or fragile internal crisis. From the perspective of regional development of Internet finance, this paper uses t-SNE machine learning algorithm to obtain data mining of China's Internet finance development index involving 31 provinces and 335 cities and regions. The conclusion of the peak and thick tail characteristics, then proposed three classification risks of Internet financial systemic risk, providing more regionally targeted recommendations for the systematic risk of Internet finance.

Tehran Stock Exchange Prediction Using Sentiment Analysis of Online Textual Opinions
Arezoo Hatefi Ghahfarrokhi,Mehrnoush Shamsfard

In this paper, we investigate the impact of the social media data in predicting the Tehran Stock Exchange (TSE) variables for the first time. We consider the closing price and daily return of three different stocks for this investigation. We collected our social media data from for about three months. To extract information from online comments, we propose a hybrid sentiment analysis approach that combines lexicon-based and learning-based methods. Since lexicons that are available for the Persian language are not practical for sentiment analysis in the stock market domain, we built a particular sentiment lexicon for this domain. After designing and calculating daily sentiment indices using the sentiment of the comments, we examine their impact on the baseline models that only use historical market data and propose new predictor models using multi regression analysis. In addition to the sentiments, we also examine the comments volume and the users' reliabilities. We conclude that the predictability of various stocks in TSE is different depending on their attributes. Moreover, we indicate that for predicting the closing price only comments volume and for predicting the daily return both the volume and the sentiment of the comments could be useful. We demonstrate that Users' Trust coefficients have different behaviors toward the three stocks.

The Evolution of Rock Festivals in Greece
Tsangaris, Michael
There is a steady growth of music festivals that has continuously occurred within the last thirty years, and this has changed the structure of the international cultural market. Nowadays, selling recorded products does not make large profits and music festivals became the vital supporters of the music industry. This paper focuses on presenting how the growth of rock festivals introduced to Greek society a new kind of entertainment quite different from the traditional festivities of the region and how this practice supports tourism. Indeed, some great festivals are created with the international market in mind and are based on specialized tourism management practices. This study, after considering some aspects concerning the interaction between global and local music culture, provides a brief historical framework of the rock festivals. It constitutes basically a general review presenting the evolution of this imported type of entertainment in Greece, and it reveals possible commonalities between the traditional and the new forms of festivities. Although there are significant differences between Panygiri which is the old traditional Greek festivity and the rock festival, it seems that some fundamental elements in those social phenomena such as attracting tourism and uniting people always remain the same.

The Global Menu of Funds
Betermier, Sebastien,Schumacher, David,Shahrad, Ali
We provide the first aggregate perspective on the evolution of mutual fund offerings worldwide. Applying textual analysis to the names of over 39,000 equity mutual funds sold in 77 different countries between 1931 and 2016, we find that the dimensionality of the fund menu is small: 20 common words appear in over 50% of the fund names, and 10 categories are sufficient to classify over 85% of all funds. Moreover, the menu of funds available in each country converges over time to a common (“global”) menu. We trace this surprisingly simple and uniform process of global menu convergence to the actions of individual fund families who follow similar growth paths: small families start by offering funds with more unique names but progressively conform to the main style categories as they grow. Our results shed new light on the aggregate process of financial innovation and the industrial organization of the asset management industry that appears to produce the same “wholesale” menu around the world.

The nested structural organization of the worldwide trade multi-layer network
Luiz G. A. Alves,Giuseppe Mangioni,Isabella Cingolani,Francisco A. Rodrigues,Pietro Panzarasa,Yamir Moreno

Nestedness has traditionally been used to detect assembly patterns in meta-communities and networks of interacting species. Attempts have also been made to uncover nested structures in international trade, typically represented as bipartite networks in which connections can be established between countries (exporters or importers) and industries. A bipartite representation of trade, however, inevitably neglects transactions between industries. To fully capture the organization of the global value chain, we draw on the World Input-Output Database and construct a multi-layer network in which the nodes are the countries, the layers are the industries, and links can be established from sellers to buyers within and across industries. We define the buyers' and sellers' participation matrices in which the rows are the countries and the columns are all possible pairs of industries, and then compute nestedness based on buyers' and sellers' involvement in transactions between and within industries. Drawing on appropriate null models that preserve the countries' or layers' degree distributions in the original multi-layer network, we uncover variations of country- and transaction-based nestedness over time, and identify the countries and industries that most contributed to nestedness. We discuss the implications of our findings for the study of the international production network and other real-world systems.

Trading Opportunities and the Portfolio Choice of Institutional Investors
Zhang, Terry
I theoretically and empirically investigate how institutional investors with different holding horizons make investment decisions. Long-term and short-term institutions have persistent differences in their portfolio tilt with short-term institutions more willing to invest in low-return stocks. To explain this phenomenon, I propose a model in which short-term institutions can trade more frequently than long-term institutions. The optimal portfolio of short-term institutions is to tilt towards stocks that are more exposed to future speculative demand, which creates transient trading opportunities. Short-term institutions can take advantage of these trading opportunities by selling at better prices. In equilibrium, these speculative stocks have lower buy-and-hold returns, making them less desirable for long-term investors. Empirical findings are consistent with my model: in the cross-section, stocks with more short-term institutional investors have higher CAPM beta, higher idiosyncratic volatility, and lower buy-and-hold abnormal returns. From these stocks, short-term institutions make more trading profits, offsetting the reduced buy-and-hold returns of these stocks. My paper shows that the desirability of investing in speculative stocks depends on one’s trading horizon.

University rankings from the revealed preferences of the applicants
László Csató,Csaba Tóth

A methodology is presented to rank universities on the basis of the lists of programmes the students applied for. We exploit a crucial feature of the centralised assignment system to higher education in Hungary: a student is admitted to the first programme where the score limit is achieved. This makes it possible to derive a partial preference order of each applicant. Our approach integrates the information from all students participating in the system, is free of multicollinearity among the indicators, and contains few ad hoc parameters. The procedure is implemented to rank faculties in the Hungarian higher education between 2001 and 2016. We demonstrate that the ranking given by the least squares method has favourable theoretical properties, is robust with respect to the aggregation of preferences, and performs well in practice. The suggested ranking is worth considering as a reasonable alternative to the standard composite indices.

University-to-School Environmental Projects for Sustainable Development: A Case of Ural Federal University
Marina Volkova,Jol Stoffers,Dmitry Kochetkov

Sustainable development is a worldwide recognized social and political goal, discussed in both academic and political discourse and with much research on the topic related to sustainable development in higher education. Since mental models are formed more effectively at school age, we propose a new way of thinking that will help achieve this goal. This paper was written in the context of Russia, where the topic of sustainable development in education is poorly developed. The authors used the classical methodology of the case analysis. The analysis and interpretation of the results were conducted in the framework of the institutional theory. Presented is the case of Ural Federal University, which has been working for several years on the creation of a device for the purification of industrial sewer water in the framework of an initiative student group. Schoolchildren recently joined the program, and such projects have been called university-to-school projects. Successful solutions of inventive tasks contribute to the formation of mental models. This case has been analyzed in terms of institutionalism, and the authors argue for the primacy of mental institutions over normative ones during sustainable society construction. This case study is the first to analyze a partnership between a Federal University and local schools regarding sustainable education and proposes a new way of thinking.

中美市场的长期α与β (The Long Term α and β of Chinese and US Market)
Liu, Ruozhou,Zhao, Xuejun,Zhang, Zili
Chinese Abstract: 本文对æ¯"了中国与美国股票市场的长期β与α。实证ç»"果显示,从长期来看,美国股市全市场的β在6%-7%之间,中国股市全市场的β在5%左右。相æ¯"中国市场,美国股市的β更高,波动率更低。美国股票型共同基é‡'的年化超额æ"¶ç›ŠÎ±åœ¨-1%至-2%之间。美国市场高度成熟,早在1945å¹´-1965年期间,股票型共同基é‡'就已经无法在市场上获得超额æ"¶ç›ŠÎ±äº†ã€‚中国市场的年化β为6.53%,同期普通股票型公募基é‡'的年化α为4.78%,偏股混合型公募基é‡'的年化α为2.98%。相æ¯"高度成熟的美国市场,机构投资者仍可以在中国市场上获得超额æ"¶ç›Šã€‚English Abstract: This paper compares the long-term β and α of the Chinese and US stock markets. The empirical results show that in the long run, the β of the US stock market is between 6% and 7%, and the β of the Chinese stock market is around 5%. Compared with the Chinese market, the US stock market has a higher β and a lower volatility. The annualized excess return α of US equity mutual funds is between -1% and -2%. The US market is highly efficient: as early as 1945-1965, stock mutual funds were unable to obtain excess returns. The annualized β of the Chinese market is 6.53%. In China, the annualized α of stock mutual funds is 4.78%, and the annualized α of blended mutual funds is 2.98%. Institutional investors can still get excess returns in the Chinese market compared to the highly efficient US market.