Research articles for the 2021-02-04

Airport Capacity and Performance in Europe -- A study of transport economics, service quality and sustainability
Branko Bubalo
arXiv

The purpose of this dissertation is to present an overview of the operational and financial performance of airports in Europe. In benchmarking studies, airports are assessed and compared with other airports based on key indicators from a technical and an economic point of view. The interest lies primarily in the question, which key figures can best measure the perception of quality of service from the point of view of the passenger for the services at an airport.



Amazon Is Coming to Town: Private Information and Housing Market Efficiency
Chen, Yifan,Wilkoff, Sean,Yoshida, Jiro
SSRN
This study provides evidence of strong-form efficiency in the housing market, in which private information is incorporated into prices. We use Amazon’s progressive disclosure of its new headquarters locations in Virginia and New York to distinguish changes in the public’s knowledge. Using a spatial difference-in-differences approach, we test whether housing prices increase before Amazon’s public announcements. The quality-adjusted housing prices consistently exhibit 4.3âˆ'4.9% premia near the Virginia headquarters before Amazon’s decision. Price premia for New York reach 17.5% before the decision but disappear once Amazon cancels the headquarters. Other finalist cities exhibit no price premia, precluding the possibility of speculation.

Assessing the Impact of Dividend Policy on the Sustainability of Distressed Firms
Sami, Mina,Abdallah, Wael
SSRN
Purpose: This paper focuses on the dividend policy management of the firms when they experience a loss at the end of the fiscal year. The objective is to examine how such policy management affects the sustainability of the firm (measured by the Future Sales and Total Factor Productivity) and the wealth of its shareholders (measured by the Stock Returns).Design/Method/Approach: The paper uses firm-level data for the top listed firms in New York exchange stock (NYSE) over the period 2000-2017. The analysis is mainly based on 237 firms that already experienced losses at the end of the fiscal year. The study utilizes the properties of the dynamic panel data, specifically the methodology proposed by Arnello-Bond (1991), to fulfill the objectives of the paper.Findings: The results show that: (a) the distressed firms that distribute dividends at the end of the loss period are able to maintain sustainability and to reach a more favorable wealth situation of their shareholders relative to the firms who abstain to pay (b) the dividend policy during periods of loss is still able to send positive signals about the firm in the market (c) the dividend policy can be considered as a predictive indicator for a sustainable firm whose shareholders can also predict their capital gains.Originality: Agreed upon the literature that the firms during the period of crisis are likely to change their dividend policy, this study offers robust evidence that the dividend policy of distressed firms affects their sustainability (measured by Sales and Total Factor Productivity) and the wealth status of their shareholders (measured by the Stock Returns).

Board Interlocks and Stock Liquidity: New Evidence from an Emerging Market
Mbanyele, William,Wang, Fengrong
SSRN
This study examines the implications of board interlocks on stock liquidity using a sample of listed Brazilian firms. The instrumental variable two-stage least squares estimation is used to minimize endogeneity concerns. This study provides evidence that board interlocks are positively related to stock liquidity. Our cross-sectional study findings reveal that the impact of board interlocks on stock liquidity is more pronounced for firms with high uncertainty, in competitive industries, and with poor governance. Our findings suggest that board interlocks aid businesses in accessing external capital from potential investors.

Climate Change Exposure and Stock Return Predictability
Xu, Jiangmin,Sun, Cheng,You, Yihui
SSRN
This paper finds evidence that stock returns vary with the climate change exposure of firms in a predictable manner. Using the Palmer Drought Severity Index, we construct firm-level climate change exposure and find that firms with high climate change exposure experience lower future profitability. We show that stock prices do not promptly incorporate such climate change information, and these firms with high climate change exposures are subject to subsequent lower stock returns. A long-short trading strategy based on this effect produces significant alphas of around 0.7% per month. Additionally, we find this return predictability is more pronounced under acute climate change conditions, and is robust to industry or macroeconomic factors.

Corporate Flexibility in a Time of Crisis
Barry, John W.,Campello, Murillo,Graham, John R.,Ma, Yueran
SSRN
We use timely surveys of US CFOs to study how flexibility shapes companies’ responses to the onset of the COVID-19 crisis and drives longer-term changes in the corporate sector. The three dimensions of corporate flexibility that we study perform distinct functions, yet complement each other. We find that workplace flexibility, namely the ability for employees to work remotely, plays a central role in modulating firms’ employment and investment planning during the crisis. Investment flexibility allows firms to increase or decrease capital spending plans based on their business condition during the crisis, which is shaped by workforce flexibility. Finally, financial flexibility contributes to stronger employment and investment plans. We show that the role played by workplace flexibility is new and was absent during the 2008 financial crisis. CFOs expect the workplace transformation of 2020 to have lasting effects for years to come: high workplace flexibility firms foresee continuation of remote work, stronger employment recovery, and shifting away from traditional capital investment, whereas low workplace flexibility firms will rely more on automation to replace labor.

Credit migration: Generating generators
Richard J. Martin
arXiv

Markovian credit migration models are a reasonably standard tool nowadays, but there are fundamental difficulties with calibrating them. We show how these are resolved using a simplified form of matrix generator and explain why risk-neutral calibration cannot be done without volatility information. We also show how to use elementary ideas from differential geometry to make general inferences about calibration stability. This the longer version of an article published by RISK (Feb 2021).



Cryptocurrencies are Not Immune to Coronavirus: Evidence from Investor Fear
Hoang, Lai T.,Baur, Dirk G.
SSRN
This paper examines the predictability of fear of coronavirus on future returns and volatility of five major cryptocurrencies during the COVID-19 outbreak. Adopting Google search volume on a comprehensive list of coronavirus-related terms to construct a gauge of fear, we show that daily innovation in fear of coronavirus is associated with next-day negative returns and positive volatility. The results indicate that (i) cryptocurrencies (particularly bitcoin) are not a safe haven for investors against the COVID-19 pandemic, and (ii) Google search contains important information that might be useful to predict cryptocurrency market movements during times of crisis.

Deep Reinforcement Learning for Active High Frequency Trading
Antonio Briola,Jeremy Turiel,Riccardo Marcaccioli,Tomaso Aste
arXiv

We introduce the first end-to-end Deep Reinforcement Learning (DRL) based framework for active high frequency trading. We train DRL agents to trade one unit of Intel Corporation stock by employing the Proximal Policy Optimization algorithm. The training is performed on three contiguous months of high frequency Limit Order Book data, of which the last month constitutes the validation data. In order to maximise the signal to noise ratio in the training data, we compose the latter by only selecting training samples with largest price changes. The test is then carried out on the following month of data. Hyperparameters are tuned using the Sequential Model Based Optimization technique. We consider three different state characterizations, which differ in their LOB-based meta-features. Analysing the agents' performances on test data, we argue that the agents are able to create a dynamic representation of the underlying environment. They identify occasional regularities present in the data and exploit them to create long-term profitable trading strategies. Indeed, agents learn trading strategies able to produce stable positive returns in spite of the highly stochastic and non-stationary environment.



Does Target Country Cultural Orientation Influence M&A?
Ahmad, Muhammad Farooq,Aziz, Saqib,Dowling, Michael M.
SSRN
We examine whether the cultural orientation of target firms influences outcomes of international mergers and acquisitions (M&A). Prior research shows that the national culture of the acquiring firm country influences M&A, as well the distance between the acquiring and target country cultures. Not previously studied from a cultural perspective of M&A has been the target country culture, despite estimates that about 40 percent of M&A is target-initiated. Our focus is on target firm cultural orientation, including how cultural orientation affects the likelihood of, and returns from, M&A. Our testing applies three cultural orientation factors (results, tradition, people orientation) extracted from a GLOBE cultural framework to a dataset of firm-level M&A data across 39 countries, 1990-2016. We find that firms from cultures with a results orientation are less likely to become M&A targets and also experience higher cumulative abnormal returns if acquired. While firms from countries with cultures with a tradition orientation or a people orientation are more likely to become targets but experience lower cumulative abnormal returns if acquired. These results are robust to a comprehensive range of robustness tests. Our findings suggest that understanding the cultural orientation of target firms is important to understanding M&A outcomes.

Dual theory of choice with multivariate risks
Alfred Galichon,Marc Henry
arXiv

We propose a multivariate extension of Yaari's dual theory of choice under risk. We show that a decision maker with a preference relation on multidimensional prospects that preserves first order stochastic dominance and satisfies comonotonic independence behaves as if evaluating prospects using a weighted sum of quantiles. Both the notions of quantiles and of comonotonicity are extended to the multivariate framework using optimal transportation maps. Finally, risk averse decision makers are characterized within this framework and their local utility functions are derived. Applications to the measurement of multi-attribute inequality are also discussed.



Financial Globalization: Effects on Banks’ Information Acquisition and Credit Risk
Paik, Christopher
SSRN
English Abstract: Financial liberalization accelerates global banks’ entry into new markets where host countries hope to spur investment and economic growth. However, banks sometimes retreat from their global ambitions and exit these new markets. This study demonstrates how difficulties of foreign banks in new markets may emerge due to disadvantages in the ability to assess credit quality compared to that of established domestic banks. We present a duopoly model where two banks conduct investigations in the search of qualified loan borrowers. The model assumes that the domestic bank has a cost advantage in evaluating a borrower’s credit quality compared to the competing foreign bank. Despite the cost heterogeneity, an equilibrium exists in which two such banks coexist in the market. Specifically, the information cost advantaged bank orchestrates a cream skimming strategy which entails lower-price commitments of loan products and higher investigation levels to screen and find low-risk borrowers. In contrast, the information cost disadvantaged bank chooses a bottom fishing strategy which consists of higher-priced loan offers with lower investigation levels. This results in high acceptance rates of high-risk borrowers in the foreign bank’s loan profile and correspondingly, higher default rates. We analyze the results to derive implications for development policy.

Financial Performance Analysis of Distressed Banks in Ghana: Exploration of the Z-score
Matey, Juabin
SSRN
A robust bank-based financial industry is a major player in the stability of an economy, as such; the macroeconomic decisions of most countries revolve around the financial sector. In 2017, the Ghana financial industry witnessed a cleanup exercise due to the impaired conditions under which it operated and therefore there was the need for the enforcement of those policy measures. The sector was inundated with nonperforming loans coupled with the weakling nature of tier one capital of most banks. To ascertain how grounded certain affected banks were, this study used financial ratios aided by the Z-score to analyse the financial performance of UT Bank prior to the 2017 bank industry health check in Ghana. Annual financials over a ten-year period (2007-2016) were used. It was realised that debt management practices of UT Bank were unimpressive. This was observed in the poor leverage and risk management variable ratios. Considering the results, UT Bank clearly had difficulty obliging to customers’ maturing debts. The average mean values of debt-to-equity and debt-to asset of 7.6 and 0.90 respectively pointed to a case of distress. The credit management practices of individual banks in the industry need resuscitation. As a policy recommendation, the regulator of the bank industry should tighten up its supervisory and monitoring powers to help in detecting early signs of non-performing banks. The study further proposes that statutory lending limits of banks be re-enforced to uphold the threshold of 10 percent for unsecured loans and 25 percent for secured loans of net owned funds of banks.

Governance, Inequality and Inclusive Education in Sub-Saharan Africa
Asongu, Simplice,Diop, Samba,Addis, Amsalu K.
SSRN
The study provides thresholds of income inequality that if exceeded will nullify the positive effect of governance dynamics on gender-inclusive education in 42 countries in sub-Saharan Africa for the period 2004-2014. The Generalized Method of Moments is used as an estimation strategy. The following findings are established. First, the unconditional effects of governance dynamics on inclusive education are consistently positive whereas the corresponding conditional effects from the interaction between inequality and governance dynamics are consistently negative. Second, the levels of inequality that completely crowd-out the positive incidence of governance on inclusive “primary and secondary education” are: 0.587 for the rule of law and 0.565 for corruption-control. Third, the levels of inequality that completely dampen the positive incidence of governance on inclusive “secondary education” are: 0.601 for “voice & accountability” and 0.700 for regulation quality. Fourth, for tertiary education, inequality thresholds are respectively 0.568 for political stability and 0.562 for corruption-control. The main policy implication is that for governance dynamics to promote inclusive education in the sampled countries, income inequality levels should be kept within the established thresholds. Other implications are discussed in the light of Sustainable Development Goals.

Inf-convolution and optimal risk sharing with countable sets of risk measures
Marcelo Brutti Righi,Marlon Ruoso Moresco
arXiv

The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets of risk measures. In this study, we extend the inf-convolution of risk measures in its convex-combination form to a countable (not necessarily finite) set of alternatives. The intuitive principle of this approach a generalization of convex weights in the finite case. Subsequently, we extensively generalize known properties and results to this framework. Specifically, we investigate the preservation of properties, dual representations, optimal allocations, and self-convolution.



Insurance Business and Sustainable Development
Dietmar Pfeifer,Vivien Langen
arXiv

In this study, we will discuss recent developments in risk management of the global financial and insurance business with respect to sustainable development. So far climate change aspects have been the dominant aspect in managing sustainability risks and opportunities, accompanied by the development of several legislative initiatives triggered by supervisory authorities. However, a sole concentration on these aspects misses out other important economic and social facets of sustainable development goals formulated by the UN. Such aspects have very recently come into the focus of the European Committee concerning the Solvency II project for the European insurance industry. Clearly the new legislative expectations can be better handled by larger insurance companies and holdings than by small- and medium-sized mutual insurance companies which are numerous in central Europe, due to their historic development starting in the late medieval ages and early modern times. We therefore also concentrate on strategies within the risk management of such small- and medium-sized enterprises that can be achieved without much effort, in particular those that are not directly related to climate change.



It Depends Who you Ask: Context Effects in the Perception of Stock Returns
Antoniou, Constantinos,Guo, Junyang,Stewart, Neil
SSRN
We use a large dataset of individual investor stock trades to demonstrate that investors are more likely to sell stocks with larger price changes in the previous day. This is consistent with investors trying to learn about the firms' fundamentals from stock returns. Our core contribution is to show that the same return elicits a much larger selling response when that return is extreme compared to the individual investor's own personal portfolio history of returns. The effect is large. When a return is extreme compared to an investor's personal history of returns, the coefficient on negative returns increases by a factor of 4.5 and the coefficient on positive returns increases by a factor of 2.0. Whereas stock returns are commonly considered to be "objective", here we have demonstrated considerable subjectivity in their perception.

Mortality Risks and Life Expectancy Losses from COVID-19 Infections by Age for the United States
Wilson, Linus
SSRN
We look at COVID-19 mortality and expected life expectancy risks by age prior to the development of pharmaceutical treatments for the SARS-CoV-2 virus. A COVID-19 infection more than doubled the annual mortality risks for Americans over sixty. Americans aged sixty or older stand to lose 153 to 222 days of life expectancy from contracting COVID-19 without the benefits of pharmaceutical treatments or vaccines.

Narrow Bracketing in Work Choices
Francesco Fallucchi,Marc Kaufmann
arXiv

Many important economic outcomes result from cumulative effects of smaller choices, so the best outcomes require accounting for other choices at each decision point. We document narrow bracketing -- the neglect of such accounting -- in work choices in a pre-registered experiment on MTurk: bracketing changes average willingness to work by 13-28%. In our experiment, broad bracketing is so simple to implement that narrow bracketing cannot possibly be due to optimal conservation of cognitive resources, so it must be suboptimal. We jointly estimate disutility of work and bracketing, finding gender differences in convexity of disutility, but not in bracketing.



On the stability of the martingale optimal transport problem: A set-valued map approach
Ariel Neufeld,Julian Sester
arXiv

Continuity of the value of the martingale optimal transport problem on the real line w.r.t. its marginals was recently established in Backhoff-Veraguas and Pammer [2] and Wiesel [19]. We present a new perspective of this result using the theory of set-valued maps. In particular, using results from Beiglb\"ock, Jourdain, Margheriti, and Pammer [4], we show that the set of martingale measures with fixed marginals is continuous, i.e., lower- and upper hemicontinuous, w.r.t. its marginals. Moreover, we establish compactness of the set of optimizers as well as upper hemicontinuity of the optimizers w.r.t. the marginals.



Optimal Allocation to Private Equity
Giommetti, Nicola,Sorensen, Morten
SSRN
We study the asset allocation problem of an institutional investor (LP) that invests in stocks, bonds, and private equity (PE). PE investments are risky, illiquid, and long-term. The LP repeatedly commits capital to PE funds, and this capital is gradually called and eventually distributed back to the LP. We find that PE investments substantially affect the LP’s optimal allocations. LPs with higher and lower risk aversion follow qualitatively different investment strategies, and PE allocations are not monotonically declining in risk aversion. We extend the model with a secondary market for PE partnership interests to study the implications of trading in this market and the pricing of NAV and unfunded liabilities.

Overseas Investment: New Zealand’S Approach to Balancing the Benefits of Overseas Investment against Protecting Sensitive Land & Business Assets and the Interests of Future Generations
Williamson, Myra
SSRN
This paper examines the law and policy nexus in the context of overseas investment law, primarily in New Zealand. It examines the difficulties of balancing the need for overseas investment-especially in land and business assets-against the need to protect a country's interests and in doing so the paper traverses a range of legal and policy issues. Section one provides an introduction to the issues of overseas investment in land by foreigners/expatriates or overseas persons.Section two briefly describes the context to overseas investment in New Zealand. It provides a brief primer on the issue of the ‘foreign buyers ban’ for the non-New Zealand. Section three explores some key features of New Zealand’s current legislative framework. Section four moves into the policy space by raising the question of how governments can achieve ‘intergenerational justice’ by focusing on sustainable investment. There it is argued that the current New Zealand legislation may achieve intergenerational justice by preventing overseas investors from buying up sensitive land on an unlimited basis, but more action is needed to achieve that goal. Section five offers a brief set of recommendations for other governments to consider when framing (or reframing) their policy position and their laws on overseas investment.

Policy choices can help keep 4G and 5G universal broadband affordable
Edward J Oughton,Niccolò Comini,Vivien Foster,Jim W Hall
arXiv

In recognition of the transformative opportunities that broadband connectivity presents, the United Nations Broadband Commission has committed the international community to accelerate universal access across the developing world. However, the cost of meeting this objective, and the feasibility of doing so on a commercially viable basis, are not well understood. This paper compares the global cost-effectiveness of different infrastructure strategies for the developing world to achieve universal 4G or 5G mobile broadband. Utilizing remote sensing and geospatial infrastructure simulation, least-cost network designs are developed for eight representative low and middle-income countries (Malawi, Uganda, Kenya, Senegal, Pakistan, Albania, Peru and Mexico), the results from which form the basis for aggregation to the global level. To provide at least 2 Mbps per user, 4G is often the cheapest option to reach universal coverage. The cost of meeting the UN Broadband Commission target of a minimum 10 Mbps per user is estimated at $1.7 trillion using 5G NSA, equating to approximately 0.6% of annual GDP for the developing world over the next decade. However, by creating a favorable regulatory environment, governments can bring down these costs by as much as three quarters, to $0.5 trillion (approximately 0.2% of annual GDP), and avoid the need for public subsidy. Providing governments make judicious choices, adopting fiscal and regulatory regimes conducive to lowering costs, broadband universal service may be within reach of most developing countries over the next decade.



Scalar multivariate risk measures with a single eligible asset
Zachary Feinstein,Birgit Rudloff
arXiv

In this paper we present results on scalar risk measures in markets with transaction costs. Such risk measures are defined as the minimal capital requirements in the cash asset. First, some results are provided on the dual representation of such risk measures, with particular emphasis given on the space of dual variables as (equivalent) martingale measures and prices consistent with the market model. Then, these dual representations are used to obtain the main results of this paper on time consistency for scalar risk measures in markets with frictions. It is well known from the superhedging risk measure in markets with transaction costs, as in Jouini and Kallal (1995), Roux and Zastawniak (2016), and Loehne and Rudloff (2014), that the usual scalar concept of time consistency is too strong and not satisfied. We will show that a weaker notion of time consistency can be defined, which corresponds to the usual scalar time consistency but under any fixed consistent pricing process. We will prove the equivalence of this weaker notion of time consistency and a certain type of backward recursion with respect to the underlying risk measure with a fixed consistent pricing process. Several examples are given, with special emphasis on the superhedging risk measure.



Super-replication with transaction costs under model uncertainty for continuous processes
Huy N. Chau,Masaaki Fukasawa,Miklos Rasonyi
arXiv

We formulate a superhedging theorem in the presence of transaction costs and model uncertainty. Asset prices are assumed continuous and uncertainty is modelled in a parametric setting. Our proof relies on a new topological framework in which no Krein-Smulian type theorem is available.



Sustainable Border Control Policy in the COVID-19 Pandemic: A Math Modeling Study
Zhen Zhu,Enzo Weber,Till Strohsal,Duaa Serhan
arXiv

Imported COVID-19 cases, if unchecked, can jeopardize the effort of domestic containment. We aim to find out what sustainable border control options for different entities (e.g., countries, states) exist during the reopening phases, given their own choice of domestic control measures and new technologies such as contact tracing. We propose a SUIHR model, which represents an extension to the discrete time SIR models. The model focuses on studying the spreading of virus predominantly by asymptomatic and pre-symptomatic patients. Imported risk and (1-tier) contact tracing are both built into the model. Under plausible parameter assumptions, we seek sustainable border control policies, in combination with sufficient internal measures, which allow entities to confine the virus without the need to revert back to more restrictive life styles or to rely on herd immunity. When the base reproduction number of COVID-19 exceeds 2.5, even 100% effective contact tracing alone is not enough to contain the spreading. For an entity that has completely eliminated the virus domestically, and resumes "normal", very strict pre-departure screening and test and isolation upon arrival combined with effective contact tracing can only delay another outbreak by 6 months. However, if the total net imported cases are non-increasing, and the entity employs a confining domestic control policy, then the total new cases can be contained even without border control.



The Determinant Factors of Bank Profitability in Indonesia
Fithriyanto, Nur
SSRN
Indonesian financial system is a bank based, where the banking system carries a vital role in the economy. That makes the profitability and the stability of the banking industry is essential to preserve economic growth. Therefore, it is critical to understand the determinant factors of bank profitability. The purpose of this study is to analyse the internal bank, external bank, as well as industry-specific determinant on bank profitability, that is measured using Return on Asset (ROA) and Return on Equity (ROE). The study will use a balanced panel data from 93 banks over the period 2015-2019 and utilize Fixed Effect-Generalised Least Square model to examine the relationship.This study finds that different factors affect banks’ ROA and ROE. It found that capital strength has a significant and positive correlation with ROA, but it does not have a significant correlation with ROE. Cost efficiency, as expected, has a substantial and negative correlation with both ROA and ROE. As for GDP growth, it has a significant and negative correlation with ROA, but it does not have a significant correlation with ROE. That likely caused by the increasing competition from the entry of foreign banks along with economic development. Finally, inflation has a significant and positive correlation with both ROA and ROE. Surprisingly, bank size and bank ownership do not have substantial correlation either with ROA or ROE. These results suggest that banks in Indonesia can enhance their profitability by increasing capital strength and improve cost efficiency.

The Effects of Financial Shocks on Macroeconomic Variables and Monetary Policy in Emerging Market Economies
Tunay, K. Batu,Tunay, Necla
SSRN
In this study, the effects of financial shocks on macroeconomic variables and monetary policy in small open emerging market economies are analyzed both theoretically and empirically. Clarida et al. (1999) model was developed by adding financial stability as suggested by Tunay and Tunay (2019). Then, the macroeconomic effects of financial shocks and the reaction of the central bank to it were analyzed empirically. Using data set collected from Brazil, China, India, Russia, South Africa and Turkey, a structural panel VAR model was estimated. The findings show that the financial shock caused significant and permanent fluctuations in the output gap, inflation and interest rate. In addition, it has been observed that the inclusion of financial stability in the central bank's objective function causes asymmetric effects on the output gap and inflation, and deepens the bank's political trade-off.

The Incentives of Crypto Experts in Initial Coin Offerings
Liu, Baixiao,McConnell, John J.,Wang, Jingfang
SSRN
The initial coin offering (ICO) market relies on the “wisdom of crowds”, ratings given by the collective opinion of crypto experts, to overcome asymmetric information problems in the fundraising process. We investigate the incentives of crypto experts to provide informative ratings in ICOs. We conjecture that experts are incentivized to provide optimistic ratings to promote ICO fundraising success due to their future opportunities as advisors in other ICOs, though their optimism is bounded by their credibility in the eyes of crypto investors. We examine our conjectures using ICO ratings on ICOBench.com during the period of 2016 to 2019. Consistent with our conjectures, we find that expert ratings in ICOs exhibit systematic optimism, particularly so when the ratings are given by experts that are assigned with more weight by the rating platforms. The optimism in expert ratings is associated with higher likelihood of fundraising success but not that of exchange listing and survival. Further, experts who give optimistic ratings to a greater number of successful ICOs and to a smaller fraction of failed ICOs are more likely to be hired as advisors in other ICOs.

The VAR at Risk
Alfred Galichon
arXiv

I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.



The housing problem and revealed preference theory: duality and an application
Ivar Ekeland,Alfred Galichon
arXiv

This paper exhibits a duality between the theory of Revealed Preference of Afriat and the housing allocation problem of Shapley and Scarf. In particular, it is shown that Afriat's theorem can be interpreted as a second welfare theorem in the housing problem. Using this duality, the revealed preference problem is connected to an optimal assignment problem, and a geometrical characterization of the rationalizability of experiment data is given. This allows in turn to give new indices of rationalizability of the data, and to define weaker notions of rationalizability, in the spirit of Afriat's efficiency index.



Toward a Prime Metric: Operational Risk Measurement and Activity-Based Costing
Mainelli, Michael
SSRN
In their quest to assign capital appropriately, banks need the ability to compare two products in a way that objectively ascertains which is operationally riskier and by how much. Perceptions of changes in these risks can be used to predict future risk. Enter the prime metric to save the day...(if only it were that easy).