Research articles for the 2021-02-06

Are Corruption and Corporate Tax Avoidance in the U.S. Related?
Al-Hadi, Ahmed,Taylor, Grantley,Richardson, Grant
In this study, we examine whether state-level corruption and corporate tax avoidance in the U.S. are related. Using a sample of 36,078 U.S. firm-year observations from 1998 to 2014, we find that corruption is significantly positively related to tax avoidance. Our main finding is consistent across a series of robustness tests. In additional analysis at the state-level, we observe that corruption is significantly positively related to corporate tax avoidance in states that have low levels of litigation risk, irrespective of whether the states rank high or low in terms of corporate governance, social capital or money laundering. We also correlate state- and firm-level corruption with firm-level corporate tax avoidance and find that the interaction terms are generally significantly positively related to corporate tax avoidance. Finally, we show that state-level corruption and corporate tax avoidance are complementary across industry sectors. Overall, our results indicate that the broader state-level corruption (cultural) effects of where a firm is headquartered have significant consequences for corporate tax avoidance.

Financial Market Frictions
DeGennaro, Ramon P.,Robotti, Cesare
What is a market friction? In the context of the capital asset pricing model, this article defines a financial market friction as anything that interferes with trade. This interference includes two dimensions. First, financial market frictions cause a market participant to deviate from holding the market portfolio. By implication, these frictions can cause a market participant to be exposed to more or less risk than she might prefer. This definition at first seems very limited but is, in fact, only as limited as the definition of the market portfolio. In this article, the term market portfolio means not only financial assets but also real estate, human capital, investors’ time, and so on. Put differently and somewhat less obscurely, financial market frictions generate costs that interfere with trades that rational individuals make (or would make in the absence of market frictions).

How Long Do We Keep Up With the Joneses? Herding Time Horizons in the Dry Bulk Shipping Markets
Michail, Nektarios,Melas, Konstantinos D.
We estimate intentional and unintentional herding in the dry-bulk, ocean-going segment that spans from August 1998 to January 2020 and measure how this can impact vessel orders. As the results suggest, while intentional herding has a large effect on the orders of the newbuilding vessels, the impact is very short-lived. On the contrary, unintentional herding, related to common environmental factors, has a smoother but more time persistent effect on the newbuilding vessels. The findings suggest that the key players in the market do not only affect the dry-bulk market with their decisions but also the logistics trade and ultimately the world economy. Thus, the inclusion of the dry bulk key shipowners by the policymakers in the discussions before reaching an important decision could minimize the volatility of the overall sector.

Searching for Inner Peace with Value Factors
Shea, Yifei,Radatz, Erhard
Value factors have always been an essential part of quantitative investing processes. We show that the deterioration in performance of value stocks, as defined by high book-to-price (B/P) ratios, comes as no surprise given their relatively poor fundamentals as well as slower mean reversion of profitability. The opposite has been observed for low B/P “glamour” stocks. Value defined by high earnings yield (E/P) has also suffered from deteriorating performance despite being fundamentally different from value characterized by a high B/P.

Свойства криптовалюты как антифидуциарных денег в качестве инструмента измерения доверия общества к власти (Properties of Cryptocurrency As Anti-Fiduciary Money as a Tool for Measuring Public Confidence in Power)
Antoncheva, Olga,Fpanasenko, Tatiana
Russian abstract: Использование показателя доли криптовалюты в общей денежной массе в качестве инструмента измерения доверия общества к власти позволяет провести объективный анализ с помощью экономических, финансовых показателей для того, чтобы дать им социологическую оценку и выработать рекомендации для создания технологий управления доверием.Рассматриваются свойства криптовалюты как антифидуциарных денег, доказывается, почему увеличение доли криптовалюты в денежной массе может рассматриваться как признак снижения доверия общества к государству. Анализируются перспективы возникновения статистики, позволяющей отслеживать динамику доли криптовалюты в денежной массе. Ð"емонстрируются преимущества предлагаемого инструмента измерения доверия по сравнению с социологическим опросом, социологическим экспериментом и введением косвенных институциональных показателей.English abstract: The use of the cryptocurrency share indicator in the total money supply as a tool for measuring public confidence in authority, allowing you to conduct an objective analysis using economic, financial indicators in order to give them a sociological assessment and develop recommendations for creating confidence management technologies.Cryptocurrency properties as anti-fiduciary money are considered. It is proved why an increase in the share of cryptocurrency in the money supply can be considered as a sign of a decrease in public confidence in the state. The prospects of statistics that allow tracking the dynamics of the cryptocurrency share in the money supply are analyzed. The advantages of the proposed confidence measurement tool compared to sociological survey, sociological experiment and introduction of indirect institutional indicators are demonstrated.