Research articles for the 2021-03-11

A Hidden Hand in Corporate Lobbying
Jiao, Anqi
I show that institutional investors can facilitate corporate lobbying. Firms with greater lobbying institutional ownership lobby more. Using a novel dataset with lobbying information on specific congressional bills, I observe that institutions are more likely to lobby on the same bills with firms possessing greater weights in institutions’ portfolios. Furthermore, institutions strategically lobby on bills that influence more firms they hold. Firms benefit from institutions’ lobbying support. Bills lobbied by institutions are more likely to pass compared to bills only lobbied by firms. The passage of such bills leads to greater abnormal returns. Additional evidence shows that institutional investors protect firms’ private political information by voting against shareholder proposals requesting additional lobbying disclosure. The findings have important economic implications: financial institutions can provide a helping hand in firms’ external governance related to law and politics.

Analysis and Diagnostics of Financial Condition of Ukrainian Railway: 2010â€"2011 (SCOPUS) АНАЛІЗ І Ð"ІАÐ"НОСТИКА ФІНАНСОÐ'ОÐ"О СТАНУ ПІÐ"ПРИЄМСТÐ' «УКРЗАЛІЗНИЦІ» ЗА 2010â€"2011 РОКИ)
Shkulipa, Lyudmyla
English Abstract: The article carries out the financial analysis of the accounting balance sheets at 6 railway enterprises during 2010â€"2011, accordingly a discriminant model for the probability of their bankruptcy is constructed. The expediency of Ukrainian railway restructuring is estimated and the ways out of the current situation are suggested considering employees as the key subject for financial information about the industry.Ukrainian Abstract: Людмила Ð'. Шкуліпа (Національна академія статистики, обліку та аудиту, м. Київ, Україна) АНАЛІЗ І Ð"ІАÐ"НОСТИКА ФІНАНСОÐ'ОÐ"О СТАНУ ПІÐ"ПРИЄМСТÐ'«УКРЗАЛІЗНИЦІ» ЗА 2010â€"2011 РОКИ У статті проведено фінансовий аналіз бухгалтерських балансів 6 залізниць Україниза 2010â€"2011 рр. та побудовано дискримінантну модель імовірності Ñ—Ñ… банкрутства.Оцінено доцільність процесу реструктуризації залізничної галузі, запропоновано можливішляхи виходу з існуючої ситуації з огляду на працівників як суб'Ñ"кта отримання фінансовоїінформації про галузь.

Analysis of Organizational Internal Factors Influencing Construction Risk Management Among Construction Industries
Omer, Manal Suliman
Many previously conducted empirical studies have displayed mixed findings about the influence of internal factors within an organization on the management of risk among construction companies. Hence, there is a need for introducing a moderating variable to this field of study. The aim of this research was to confirm whether coercive pressure plays a significant role in the relationship between the management of risk in construction and factors within the organization. Therefore, this study examined the influence that internal organizational factors and coercive pressure have on the management of construction risk through the lens of discouragement and organizational control theory, and institutional theory. Data were collected through the distribution of questionnaires involving 165 workers working in the Malaysian Peninsular construction companies, and the analysis was performed by means of partial least squares structural equation modelling. Results revealed a positively significant connection between internal organizational factors and the management of construction risk. Also, coercive pressure and the management of construction risk has a positively significant relationship. Coercive pressure mediated the connection that organizational internal factors had with the management of construction risk. A discussion of the research implications was done from the point of view of Malaysia. In conclusion, the reduction of risk incidents in the process of carrying out construction activities is being facilitated by active leadership and organizational culture. In addition, the rate and period at which accidents occur during and after the completion of construction activities are reduced by coercive pressure. In the same way, some influential internal factors of organizations as well as the introduced coercive pressure in the process of managing construction risk have established that many construction companies that apply the necessary internal factors as well as the coercive pressure introduced by the government are able to make delivery of their construction task at the specified cost, time, and qualities, thus establishing them as the correct standard for measuring a well-constructed project.

Análisis De Administración De Finanzas Personales Utilizando Una Matriz De Clasificación De Gastos: Evidencias De Estudiantes De Pregrado En Administración E Ingeniería En Sistemas Pecuarios (Personal Finance Analysis Using an Expenditure Classification Matrix: Evidence from Administration and Livestock Engineering Undergraduate Students)
Reus González, Nadia Natasha,Reus González, Tania,Núñez Reus, Erika Miroslava
Spanish abstract: Para lograr y mantener las finanzas exitosas en estudiantes universitarios, es necesario tomar en cuenta los gastos realizados a lo largo de su trayecto escolar, el propósito de este análisis es demostrar mediante una clasificación de gastos en la que el alumno se involucra en el manejo de sus finanzas personales, con el objetivo de observar la forma de administrar sus recursos económicos en las diferentes carreras, donde la de Sistemas Pecuarios por naturaleza no es la de administrar recursos económicos como tal. El presente material de investigación tiene como objeto de estudio mostrar los gastos clasificados en urgentes e importantes y la matriz resultante de la comparación de gastos en alumnos de pregrado en Administración e Ingeniería en Sistemas Pecuarios, basados en gastos diarios que realizan constantemente. Se analiza cómo administra y cómo realiza sus gastos con una planeación que contribuya a mejorar sus finanzas y que los gastos se lleven a cabo desde una estrategia financiera que pueda ser fácil de administrar teniendo conocimientos y habilidades que le permitan llevar de una manera eficiente y eficaz el manejo de sus finanzas y obtenga un resultado favorable en su economía y calidad de vida.English abstract: For university students, to achieve and maintain successful finances, it is necessary to consider the expenses they incur throughout their school journey. We develop a Matrix for expenditure classification for administration and engineering in Livestock undergraduate students. Our goal is to assist students with managing their personal finances. Our Matrix uses four classification options: urgent, non-urgent, important, and non-important. Students can analyze how they manage and how they spend their resources. Students can then plan and create financial strategies to improve their personal finances and quality of life.

Ask the Smart Money: Shareholder Votes by a
Cunningham, Lawrence A.
Special Note:This Publication is part of The Quality Shareholder Initiative at the Center for Law, Economics and Finance (C-LEAF), at The George Washington University Law School, Prof. Lawrence A. Cunningham, Faculty Director. Corporate directors, shareholders, judges and scholars are on edge. Directors yearn for a certain kind of shareholder, especially one that is patient and focused on the company, as opposed to indexers, who must hold it as part of their basket, or traders, who own fleetingly. Shareholders want a voice, and that patient-focused cohort has the softest one today, crowded out by indexers, like BlackRock, and legions of day traders, like those stalking GameStop. Courts, struggling under the conflicting weight of the business judgment rule and fairness scrutiny, look to shareholder voice as a solution. Yet scholars are troubled by the extensive weight judges give to shareholder voice, particularly to insulate director decisions from review. While a perfect solution to these multiple conundrums is a pipe-dream, there is one that will meet the appetite of many directors and shareholders, while easing the judicial burden and scholarly angst: on corporate matters where stakes run high, directors should submit proposals to a special vote of the patient-focused shareholders, in addition to any other vote required by law or contract. Directors achieve an important goal of cultivating this shareholder cohort; those shareholders appreciate their voice being temporarily amplified, without disenfranchising other shareholders; judges get a reliable datapoint for choosing between deference or scrutiny; and scholars are assured an additional source of investor protection. Not perfect, but inexpensive, useful, and posing scant downside. This Article explains the concept and puts it into historical, jurisprudential, and contemporary context.

Assessment of Air Quality and Respiratory Health Status within an Institutional Area
Nkundabose, Jean Paul
The present study was carried out to assess air quality and respiratory health status at Delhi University. Delhi University is an open campus and surrounded by commercial areas, residential, traffic intersection and major road network which are probably the main source of air pollution in this campus. The pollutants considered for this study were four criteria pollutants (NO2, SO2, PM10 and PM2.5) along with pulmonary function test for diagnosing any obstruction caused by air pollution. Sampling site has been monitored for 4 hours basis at Department of Environmental Studies within 2 months (February and March). Temporal and Spatial variation of pollutants was performed by Excel, Air quality index was computed by mathematical equation established by EPA and pulmonary function test was conducted by using spirometer as tool. The results revealed that a fine and coarse particulate matter concentration was 2.56 times higher than permissible limit established by Central Pollution Control Board (CPCB) in India. Apart from this finding, NO2 and SO2 concentration in this University remain under permissible limit. Among 50 students participated in pulmonary function test, the study has found 2% student has severe obstruction (FEV1/FVC, <=30 %< 50%), 20% students have moderate obstruction (FEV1/FVC, <=50 %< 80) and 78% have mild obstruction this could be because of long exposure to high concentration of particulate matter.

Assessment of the Effectiveness of State Participation in Economic Clusters
A.R. Baghirzade,B. Kushbakov

In the article we made an attempt to reveal the contents and development of the concept of economic clusters, to characterize the specificity of the regional cluster as a project. We have identified features of an estimation of efficiency of state participation in the cluster, where the state is an institution representing the interests of society.

Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas
Grassi, Stefano,Violante, Francesco
Starting from the Cholesky-GARCH model, recently proposed by Darolles, Francq, and Laurent (2018), the paper introduces the Block-Cholesky GARCH (BC-GARCH). This new model adapts in a natural way to the asset pricing framework. After deriving conditions for stationarity, uniform invertibility and beta tracking, we investigate the finite sample properties of a variety of maximum likelihood estimators suited for the BC-GARCH by means of an extensive Monte Carlo experiment. Finally, we illustrate the usefulness of the BC-GARCH in two empirical applications. The first tests for the presence of beta spillovers in a bivariate system in the context of the Fama and French (1993) three factor framework. The second empirical application consists of a large scale exercise exploring the cross-sectional variation of expected returns for 40 industry portfolios.

Modibbo, Jaafaru
This paper investigates the effect of corporate ownership structure on investors’ confidence of listed deposit money banks in Nigeria. The study adopted correlational research design using panel data collected from annual reports and accounts of 14 deposit money banks in Nigeria that form the whole population of the study for the period of 10 years (2010-2019). Descriptive statistics was used to analyze data in order to provide summary statistics for the variables. Pearson’s correlation technique was employed in order to analyze and ascertain the extent of the relationship between the dependent and independent variables. The fixed effect regression results revealed that institutional investors have a positive and significant relationship with investors’ confidence. The result further shows that insider and block ownership has a negative and statistically significant relationship with investors’ confidence. And on the contrary foreign ownership has no significant relationship hence did not play any role in influencing investors’ confidence of listed deposit money banks in Nigeria. Based on the findings, the study recommends managers of listed deposit money banks in Nigeria should give more room to institutional investors to own more shares so that the higher their interest, the more they will be willing to monitor the activities of the firms. This will enable investors to have more confidence in the firms. Insider ownership should be monitored and reduced by the Securities and Exchange Commission; this will prevent insiders from owning a substantial amount of equity which give them the freedom to act in their best interests at the detriment of other shareholders. The study further recommends managers of listed deposit money banks should ensure that their firms desist from higher levels of block holder ownerships in order to reduce ownership concentration.

Classification shifting and efficiency of corporate investment
Anagnostopoulou, Seraina C.,Malikov, Kamran
This study investigates into the consequences of earnings management by classification shifting via examining its effect on corporate investment efficiency. The underlying expectation is that the way of reporting different items of profit within the income statement should induce information asymmetry between managers and the capital providers about the level of core, and so more likely repeatable, firm performance, and therefore associate with efficiency in firm-level investment. We find that classification shifting strongly and positively associates with both over- and under-investment. Our results are more pronounced when other factors that should favor efficient investing are weaker, namely for firms facing greater financial constraints, firms with greater information asymmetry and lower auditor quality, and also when opportunistic special items, levels of unexpected investment, and investment opacity are higher. Our study provides evidence on the adverse consequences of classification shifting, representing a form of earnings management typically considered as relatively innocuous and without any bottom-line performance reversing effects, with reference to a very important firm-level outcome, as is efficiency in investment.

Concirrus Quest Marine's Insurance Business Model: The Role of AI and Big Data
Timms, Paul D.,Holland, Christopher P.,Yeoman, Andrew
Concirrus, and their Quest Marine Platform, are an established insurtech within the marine insurance sector, capitalising on the growing ability of AI and Machine Learning to analyse vast quantities of data, so that the underlying behaviours of risk can be better understood. In this detailed case study, we explore the Concirrus’ business model.

Credit Rating and Stock Return Comovement
Shen, Jianfeng,Zhang, Huiping,Zhang, Weiqi
Firms with similar credit ratings, especially junk-rated ones, tend to comove strongly in stock returns with each other, which is not fully explained by their exposures to systematic factors. Following a firm’s downgrade into the junk-grade group, it tends to comove much more strongly in stock returns with firms in the junk-grade group and less with those in the investment-grade group. There is no similar trend in comovement with either credit rating group in the one-year window prior to the downgrade, indicating that changes in comovement are unlikely driven by changes in fundamentals of affected firms. Finally, we find evidence consistent with investor clientele effect explanation for excessive comovement related to credit ratings by examining a) how mutual funds with different credit preferences adjust their stock holdings of firms being downgraded into junk-grade ratings and b) how flows to mutual funds that tend to invest in junk-rated firms affect these firms’ stock returns and their comovement.

Does Board Gender Diversity Reduce 'CEO luck'?
Ongsakul, Viput,Jaroenjitrkam, Anutchanat,Treepongkaruna, Sirimon,Jiraporn, Pornsit
We explore the role of female directors in mitigating CEO luck. CEOs are “lucky” when they receive stock option grants on days when the stock price is the lowest in the month of the grant, implying opportunistic timing. Our results show that board gender diversity significantly deters the opportunistic timing of option grants. The effect of board gender diversity is 17.19% stronger than that of board independence in reducing CEO luck. Board gender diversity plays an effective governance role, even more effective than board independence does. Our results support the benefits of board gender diversity in mitigating the agency cost.

Dual Labor Market and the "Phillips Curve Puzzle"
Hideaki Aoyama,Corrado Di Guilmi,Yoshi Fujiwara,Hiroshi Yoshikawa

Low inflation was once a welcome to both policy makers and the public. However, Japan's experience during the 1990's changed the consensus view on price of economists and central banks around the world. Facing deflation and zero interest bound at the same time, Bank of Japan had difficulty in conducting effective monetary policy. It made Japan's stagnation unusually prolonged. Too low inflation which annoys central banks today is translated into the "Phillips curve puzzle". In the US and Japan, in the course of recovery from the Great Recession after the 2008 global financial crisis, the unemployment rate had steadily declined to the level which was commonly regarded as lower than the natural rate or NAIRU. And yet, inflation stayed low. In this paper, we consider a minimal model of dual labor market to explore what kind of change in the economy makes the Phillips curve flat. The level of bargaining power of workers, the elasticity of the supply of labor to wage in the secondary market, and the composition of the workforce are the main factors in explaining the flattening of the Phillips curve. We argue that the changes we consider in the model, in fact, has plausibly made the Phillips curve flat in recent years.

Establishing Relationship between Meteorological Parameters and Criteria Air Pollutants Concentration in Delhi
Nkundabose, Jean Paul
Meteorological parameters (temperature, humidity, wind speed and wind direction) can be linked to air pollutants concentration levels in any area. The present study purposed to establish the relationship between meteorological parameters and selected criteria air pollutants concentration levels in Delhi. To infer spatial and temporal pattern of air pollutants and relationship with meteorological parameters, the secondary data for criteria pollutants as well as meteorological data (temperature, humidity, wind speed and wind direction) of selected sites were procured from a governmental agency “System of Air quality and weather Forecasting And Research (SAFAR)” for the period of four years (2013 to 2016). Microsoft excel was used for graphical representation purpose. Pearson correlation to establish pollutants relation with meteorological parameters was done by using SPSS. The study found that 2013 was the most polluted year and 2016 was the least in Delhi. It also showed that site 1 which is located in south Delhi is most polluted with regards of gaseous pollutants however; site 6 which is located in north Delhi is the most polluted site in terms of particulate matter. Some meteorological parameters have great influence on the spatial and temporal pattern of criteria pollutants in the selected sites. PM has negative correlation with temperature and humidity while in most sites NOX (NO & NO2) have positive relation with temperature. O3 also have positive relation with temperature because temperature accelerates formation of ozone. However, O3 has negative relationship with relative humidity because precipitation washes out the pollutant concentration. Generally, wind speed has no effect on concentration of air pollutants.

Estimating Complementarity With Large Choice Sets: An Application to Mergers
Ershov, Daniel,Laliberté, Jean-William,Marcoux, Mathieu,Orr, Scott
Standard discrete choice demand models assume that products are substitutes. Merger analysesbased on these models may overstate consumer harm when producers of complementary products merge. Allowing for demand complementarity greatly complicates demand estimation, particularly when the number of choices is large. We introduce a straightforward Generalized Method of Moments estimator that identifies preferences allowing for (1) potential consumption complementarity, (2) price endogeneity and (3) large choice sets. Our estimator parsimoniously leverages information on consumer level bundle specific purchases and aggregate sales data. We apply this estimator to the chips and soda market and find a high degree of complementarity between these product groups. We show that a merger between PepsiCo/Frito-Lay and Dr. Pepper would increase soda prices by 30% less than suggested by a model that does not account for complementarity. Post-merger chip prices decrease. Overall, accounting for complementarity leads to positive welfare gains in some markets with large numbers of Frito-Lay varieties.

Ethics and Corporate Lobbying
Jiao, Anqi,Mobbs, Shawn,Mortal, Sandra
We explore the exogenous effects of the Honest Leadership and Open Government Act of 2007 (HLGOA), on U.S. corporations. We find that the average market reaction to the reform, which aimed to mitigate unethical lobbying practices, by lobbying firms is positive, implying the reform benefited these shareholders on average. We also uncover heterogeneity of lobbying firms’ response to the reform. Following the Act, firms with a history of active lobbying reduced their lobbying activity, whereas firms with little prior lobbying activity increased their lobbying efforts. Finally, we find that after the enactment of these reforms, firms that engage in active lobbying, and especially those with a good ethical reputation, are more likely to appoint politically connected directors relative to non-lobbying firms.

Fickle Emerging Market Flows, Stable Euros, and the Dollar Risk Factor
Adriaan Boermans, Martijn,Burger, John D.
Policymakers fear the potentially destabilizing impact of fickle global investors on emerging markets. Euro area investors are significant participants in emerging bond markets and exhibit volatile flows, but their fickleness does not result in indiscriminate periods of surge and flight. Instead, we find differentiation across emerging market bonds based on currency denomination and issuer-level risk factors. First, euro area investors exhibit a strong home currency bias that manifests itself both as a cross-sectional preference and in the form of relatively stable flows to Euro-denominated bonds over time. Second, volatile flows to USD and local-currency denominated bonds are most robustly related to fluctuations in the broad dollar exchange rate. Attempts to explain the dollar factor yield modest evidence for a balance sheet mechanism, and, consistent with a broader risk appetite channel, we find flows to bonds with lower credit ratings and higher yield spreads are more sensitive to USD fluctuations.

Financial instruments InsurTech on the financial market in the current global context
Manta, Otilia
The insurance industry has been and is very dynamic, directly related to the degree of penetration of insurance in a country's GDP and proportional to the level of evolution of states. It is recognized that in the past insurance was only an instrument for the protection of personal and even governmental assets, now we can say that the main purpose is to support the economy and the main tool for managing social risks, and even financing instrument, more chosen for small entrepreneurs. However, due to the lack of financial education most of the time, this financial instrument is used sparingly. These are an important pillar for emerging countries, as demonstrated since 1990 in several studies indicating a growth rate proportional to the development of the insurance market. In this paper we aim to reflect the current situation of the insurance market in the context of the pandemic, but especially to present the role and importance of financial instruments such as InsurTech to support and develop economies at national, European and global levels.

Gender in Start-up Financing: Evidence from Equity Crowdfunding
Hellmann, Thomas F.,Mostipan, Ilona,Vulkan, Nir
It is well known that start-ups with female founders often raise less money than their male counterparts; the question is, what drives this? We exploit the unique features of equity crowdfunding to disentangle the choices made by entrepreneurs and investors. We find that female teams set lower fundraising goals, are equally likely to achieve their minimum goal, and end up raising significantly less. Guided by a simple theory of optimal fundraising, we find that assortative matching (where investors prefer to invest in their own gender) can explain some but not all of the female funding gap. One interesting finding is that female start-ups wait longer before closing their campaigns, suggesting that they want to raise more than what they originally asked for. Overall, the analysis suggests that female founders ask for less, get less, but do not necessarily want less.

Inflation Risk and the Finance-Growth Nexus
Corhay, Alexandre,Tong, Jincheng
This paper shows that the effect of inflation on asset prices and real aggregates depends on the financial intermediation sector. When firms finance using nominal long-term debt issued by financial intermediaries, unexpected changes in inflation lead to a wealth transfer across sectors. Higher inflation decreases firms' real liabilities and default risk, which helps reduce debt overhang. However, it hurts intermediaries' balance sheet, leading to a contraction in credit. We show theoretically that the ultimate effect of inflation depends on the tightness of financing constraints in the intermediation sector. We find strong empirical evidence consistent with these results. We also show that an inflation policy responding to both financial and real variables can help stabilize our economy.

Japan â€" Canary in the Coal Mine for the Great Decline of the Western Economies
Carr, Douglas
Japan is the most significant economy in the world today, because it exemplifies fifty years of declining economic growth for the major advanced economies. This paper provides an overview of distinct models for economic growth, inflation, interest rates, and the yield curve and applies them to Japan’s economic and financial circumstances.Japan’s growth decline is due to lower net investment, which is now almost zero. Japan’s low economic growth is not due to its low population growth; low population growth is due to low economic growth. Low inflation will continue. Inflation from monetary stimulus diminishes geometrically â€" now virtually zero in all western economies. Inflation from non-monetary causes depends on economic and population growth â€" both very low for Japan. Fixed income and equity investment returns are now largely governed by central bank intervention without which yields would be higher and above zero, while equities would be lower.Japan can break the downward economic spiral and attain 3% growth with 2% inflation by reducing government spending relative to GDP as Sweden and Ireland successfully have done. Should Japanese government spending rise significantly from current levels, the country will be trapped in negative growth and deflation.

Machine Learning Predictions of Credit and Equity Risk Premia
Kita, Arben
The emergence of algorithmic high-frequency trading in the market for credit risk affords accurate inference of new risk measures. When combined with machine learning predictive methods, these measures forecast substantial future changes in firms' credit and equity risk premiums in out-of-sample. Parallel measures estimated from firms' stocks fail to predict risk premiums, indicating that credit-market-based risk measures contain valuable information for forecasting firms' risk premia in both markets. The innovative high-volume high-frequency trading has not alleviated short-horizon pricing deviations across firms' equity and credit markets, an epitome of latent arbitrage in the market for credit risk.

Managerial Rhetoric of Technology and Innovation, Institutional Ownership, and Stock Price Crashes
Andreou, Panayiotis C.,Drivas, Kyriakos,Philip, Dennis,Wood, Geoffrey
We compare actual R&D spend with the managerial rhetoric around technology and innovation contained within corporate disclosures of US-listed firms. We find that, whilst actual R&D spend and patents do not entice institutional investors to increase their stock holdings, firms that espouse technology and innovation in their corporate disclosures are quite successful in drawing in short-term horizon investors. Yet, such firms are more prone to future sudden idiosyncratic stock price crashes. Although it may seem that talk of technology and innovation represents a self-interested managerial effort to retain investors’ expectations, this would not explain why so many short-term horizon investors opt for such stocks in the face of persistent evidence of adverse market performance outcomes. As suggested by the economics of expectation, investors may become reluctant to timely face up to bad news in terms of unfulfilled technology and innovation outcomes, a behaviour that can hype investors’ expectations and overinflate stock prices for long periods. Eventually, when such investors become disillusioned by unjustifiable expectations that enables them to better discern the firm’s true state of economic fundamentals, the sudden and abrupt decline in their expectations triggers extreme firm-specific left-tail outcomes.

Managing the Risk Is Not Enough
Parent, Léo
Standard portfolio construction models are based on the implicit assumption that all information relevant to making investment choices is probabilizable. However, both empirical behaviors of market participants and the increased success of approaches like risk parity underly an implicit rejection of this paradigm. This rejection is caused by uncertainty about metrics from a probabilistic formalization, induced by the fundamental nature of financial dynamics. It is concretely expressed through research into a balanced distribution of sources of risk rather than the minimization of a risk measure, and by the mobilization of knowledge that escapes pure probabilistic logic. The present paper aims to extract the substance of these ways of considering uncertainty in order to reconcile the taking into account of the uncertainty about metrics from a probabilistic formalization, while preserving the advantages of the risk/return approach which is the basis of the modern portfolio theory. The thrust of the approach taken is that reducing uncertainty involves limiting the importance of financial bets as a function of the uncertainty associated with the premises on which they are based. In order to attribute a value to the uncertainty of the premises, the angle of analysis adopted here is the stability of risk factor relations on which the relevance of probabilistic metrics depends. Consequently, the first part focuses on the risk decomposition of a portfolio with respect to risk factors and analyze the impact of estimation errors of inputs related to risk factors on the risk measure. Based on this analysis, the second part of the paper defines a framework for the construction of a coherent uncertainty measure of a portfolio. The third part presents a model of portfolio construction including a coherent uncertainty measure of a portfolio: the Uncertainty-Risk-Return optimization. A general method to solve this non-convex program is then exposed. Finally, the properties of this new method of portfolio optimization incorporating the management of uncertainty are analyzed through concrete examples.

Mandatory Financial Disclosure and M&A Activity
Ortiz M., Marcelo,Peter, Caspar David,Urzúa I., Francisco,Volpin, Paolo F.
Taking advantage of the implementation of the European Commission directives on the financial reporting of private firms, we explore the impact of mandatory financial disclosure on mergers and acquisitions. We find robust evidence that the volume of private firms becoming the target in M&A deals is positively correlated with mandatory disclosure. The analyses of deal characteristics and post-deal performance confirm our interpretation that financial disclosure increases M&A activity by reducing asymmetric information and uncertainty.

Measuring Financial Inclusion and Financial Exclusion
Ozili, Peterson K
Achieving high levels of financial inclusion has been a policy priority for policy makers in many countries as policy makers seek to reduce the level of financial exclusion to low levels. There have also been increased interest in financial inclusion research by academics. The literature lacks a comprehensive measure of financial inclusion and also lacks a comprehensive measure of financial exclusion across countries and economies. This paper attempts to fill this gap by proposing several indices, measures and ratios of financial inclusion and financial exclusion. The proposed index, measures and ratios is very easy to compute and are comparable across countries. Policy makers, analysts and academics will find it useful.

Mediation and Strategic Delay in Bargaining
Back, Kerry,Barton, Paul
Mediator proposals can accelerate agreement and increase welfare even if the mediator is entirely uninformed. We demonstrate this by adding random mediation to the Cramton (1992) bargaining model. Mediation increases welfare by pooling types, which reduces signaling costs. When mediation is expected to occur soon, bargainers wait for mediation. Otherwise, bargainers make offers with greater strategic delay due to the possibility of future mediation. Despite the greater pre-mediation delay, the net effect of mediation is welfare enhancing.

News and Trading After Hours
Cui, Bei,Gozluklu, Arie Eskenazi
This paper explores after-hours trading (AHT) in U.S. equity markets. We collect a large set of news releases during AHT and document their effect on AHT activity and market quality. Three types of news events attract most AHT: earnings announcements, insider trades, and index reconstitutions. The majority of earnings announcements shift to AHT over time. Corporate insiders are more likely to delay their sales filings until markets close. Index reconstitutions during AHT lead to volume surge and contribute to the negative CAPM slope. During the Covid-19 pandemic, retail access (via Robinhood platform) leads to a sharp increase in after-hours trades.

Productivity, Managers' Social Connections and the Great Recession
Hasan, Iftekhar,Manfredonia, Stefano
This paper investigates whether managers' personal connections help corporations to escape the productivity trap. Leveraging the heterogeneity in the severity of the Great Recession across different sectors, the paper reports that (i) the Great Recession had a negative effect on corporate productivity, (ii) the effect was long-lasting and persistent, supporting a productivity-hysteresis hypothesis, (iii) managers' personal connections are counter-cyclical and indeed allowed corporations to escape the productivity trap primarily via favorable credit conditions, in periods of high information asymmetries and tight credit constraints.

Putting Credit Factor Investing into Practice
Kaufmann, Hendrik,Messow, Philip
Implementing a multifactor signal in the corporate bond market into an actual portfolio is subject to many challenges. In general, corporate bonds have higher transaction costs compared to equities and a substantial amount is not traded at all for longer periods. This makes the implementation of the signal difficult. We design a framework in which we show under realistic optimisation conditions that a multifactor signal can also be transferred to a real-life portfolio. Among other restrictions, we construct a tradeability measure from TRACE that allows us to optimise the portfolio on bonds which were institutionally traded. We show that even under these conditions, a multifactor strategy has outperformed the benchmark resulting in an information ratio of 1.4 since 2002.

Real-time revenue and firm disclosure
Blankespoor, Elizabeth,Hendricks, Bradley E.,Piotroski, Joseph D.,Synn, Christina
We examine firm disclosure choice when information is received on a real-time, continuous basis. We use transaction-level credit and debit card sales for a sample of retail firms to construct a weekly measure of abnormal revenue for each firm. We validate the informativeness of this abnormal real-time revenue information, confirming its positive correlation with abnormal returns, unexpected revenue realizations, and management revenue forecast news. Using revenue forecasts, we find that firms are less likely to disclose abnormally negative news early in the quarter. As the quarter progresses, firms reduce their withholding of negative news. These results are consistent with impending earnings announcements disciplining managers to provide negative news. This pattern of initial withholding and then disclosure exists primarily in firms with high analyst coverage, high institutional ownership, or high litigation risk. Finally, we find increased insider stock sales in weeks with abnormally negative news and no firm disclosure. Overall, our study provides evidence of the informativeness of real-time information and manager discretion in its release.

Regulation of Crypto: Who is the SEC Protecting?
Goforth, Carol R.
Just months apart in 2020, two judges from the Southern District of New York wrote incredibly important opinions concerning the SEC’s approach to regulating the sales of cryptoassets. In both SEC v. Telegram and SEC v. Kik, the court concluded that the way in which a large, reputable social media company had gone about conducting its SAFT and crypto offerings violated federal law by amounting to an unregistered, non-exempt sale of securities. In neither case was fraud or other criminal conduct an issue; the sole problem identified by the courts was failure to register the sales. In reaching their conclusions, both courts collapsed a two-phase offering into a single, integrated scheme. The problem with this approach is that this appears to be an unnecessarily overbroad application of the SEC’s regulatory authority, falling outside the commission’s mandate to protect investors and markets. The cost of this approach is that crypto entrepreneurs are being forced away from the U.S., and American investors are denied opportunities to participate in a potentially exciting and desirable technological revolution. This Article examines the underlying regulatory framework, the SEC’s stated approach to crypto, and the rationale employed in these two recent opinions. It also considers the potential impact of recent amendments to the SEC’s rules defining the “integration doctrine,” which was explicitly relied upon in the Kik decision in order to treat the contractual sales and the eventual token sales as a single scheme that violated the federal securities laws. This Article makes suggestions for how crypto entrepreneurs and their advisors might structure future crypto offerings to avoid the pitfalls created by the Kik and Telegram opinions. This Article certainly advocates that courts limit the approach that is being urged by the SEC, but the suggestions offered here do not depend on a change in the law, merely a change in understanding what is required in order to conduct a compliant crypto offering.

Rentabilidad de los Fondos de Pensiones en España. 2005-2020 (Return of Pension Funds in Spain. 2005-2020)
Fernandez, Pablo,Bañuls, Sofia,Fernández Acín, Juan,Fernández Acín, Lucía
Spanish Abstract: En el periodo diciembre 2005 - diciembre 2020, la rentabilidad del IBEX 35 fue 50,2% (promedio anual 2,75%) y la de los bonos del Estado a 15 años 64,7% (promedio anual 3,38%). La rentabilidad media de los fondos de pensiones fue 30,5% (promedio anual 1,8%).Entre los 416 fondos de pensiones con 15 años de historia, 64 superaron la rentabilidad del IBEX 35 y 34 la de los bonos del Estado a 15 años. 11 fondos tuvieron rentabilidad negativa.Los 969 fondos de pensiones del sistema individual tenían (diciembre 2020) 7,5 millones de partícipes y un patrimonio de €81.790 millones. En diciembre de 2019 había 1.004 fondos.English Abstract: During the last 15 year period (2005-2020), the average return of the pension funds in Spain (1.8%) was lower than the return of Government Bonds (3.38%). Only 34 funds (out of 416) had a higher return than the 15-year Government Bonds. Nevertheless, on December 31, 2020, 7.5 million investors had 81.8 billion euros invested in pension funds.

Revealed Proprietary Information Disclosure
Zufarov, Rustam
I propose a methodology to study proprietary information firms disclose prior to Seasoned Equity Offerings. I assess proprietary information disclosures by the magnitude of association between a private information-based proxy and stock returns. Using a difference-in-differences design around the Securities Offering Reform of 2005 that relaxed restrictions on disclosures, I find that equity-issuing firms disclose more than twice as much proprietary information as non-issuing control firms. I corroborate my findings using major customer identity disclosure and three ex ante measures of proprietary information risks. Results are robust after controlling for information flow from insider trading and financial analysts. I also document that disclosure of proprietary information leads to 10â€"23 percent lower underpricing. Finally, this paper sheds light on unintended consequences of disclosure regulation. While prior regulation constrained managerial disclosure practices to prevent gun jumping, it also restrained legitimate corporate disclosures that may have limited firms’ ability to raise capital.

The Applicability of Self-Play Algorithms to Trading and Forecasting Financial Markets: A Feasibility Study
Kotlarz, Piotr,Hadji-Misheva, Branka,Posth, Jan-Alexander,Osterrieder, Joerg,Schwendner, Peter
The central research question to answer in this feasibility study is whether the Artificial Intelligence (AI) methodology of Self-Play can be applied to financial markets. In typical use-cases of Self-Play, two AI agents play against each other in a particular game, e.g. chess or Go. By repeatedly playing the game, they learn its rules as well as possible winning strategies. When considering financial markets, however, we usually have one player â€" the trader â€" that does not face one individual adversary but competes against a vast universe of other market participants. Furthermore, the optimal behaviour in financial markets is not described via a winning strategy, but via the objective of maximising profits while managing risks appropriately. Lastly, data issues cause additional challenges, since, in finance, they are quite often incomplete, noisy and difficult to obtain.We will show that academic research using Self-Play has mostly not focused on finance, and if it has, it was usually restricted to stock markets, not considering the large FX, commodities and bond markets. Despite those challenges, we see enormous potential of applying self-play concepts and algorithms to financial markets.

The Influence of Regulation Affecting Non-GAAP Reporting on Executive Compensation Contracting
Desai, Hrishikesh
The regulatory landscape for non-GAAP reporting has been evolving due to changes in the U.S. SEC’s interpretations of regulations affecting non-GAAP disclosures. I examine whether the regulation of non-GAAP disclosures constrains efficient compensation contracting. I use the regulatory shock of the January 2010 update by the U.S. SEC to its interpretive guidance on non-GAAP disclosures, which some believe relaxed the bar for non-GAAP reporting. Using a novel hand-collected dataset on non-GAAP measures used by S&P 900 firms over the period from 2007 to 2017 and a difference-in-differences estimation approach, I find that firms with strong incentives to use non-GAAP measures in CEO incentive plans started using more of these measures after the guidance update to those that did not. I also find that this increase was more pronounced among firms with a higher propensity to fail a non-GAAP regulatory test in fiscal years 2010-11, which was relaxed after the update. Based on the history of regulations affecting the use of non-GAAP performance metrics and their specific applicability to non-GAAP measures used for contracting and valuation, I conclude that these effects are largely an unintended consequence of SEC rulemaking.

The Pitfalls of Pledgeable Cash Flows: Soft Budget Constraints, Zombie Lending and Under-Investment
Bernhardt, Dan,Koufopoulos, Kostas,Trigilia, Giulio
We show that when borrowers are privately informed about their creditworthiness and lenders have a soft budget constraint, efficient investment requires a limit on the fraction of a firm’s cash flows that can be pledged to outsiders. That is, pledgeability should neither be too low nor too high. An increase in pledgeability, or, more broadly, creditor rights, can either promote re-investment in zombie firms, which increases other firms’ cost of capital, or it can lead to inefficient under- investment, depending on the composition of equilibrium credit demand. Thus, greater pledgeability can reduce net social surplus, and even trigger a Pareto loss.

The Welfare Cost of Ignoring the Beta
Gollier, Christian
Because of risk aversion, any sensible investment valuation system should value less projects that contribute more to the aggregate risk, i.e., that have a larger income elasticity of net benefits. In theory, this is done by adjusting discount rates to consumption betas. But in reality, for various reasons (Arrow-Lind and WACC fallacies, market failures), most public and private institutions and people use a discount rate that is rather insensitive to the risk profile of their investment projects. I show in this paper that the economic consequences of the implied misallocation of capital are dire. To do this, I calibrate a Lucas model in which the investment opportunity set contains a myriad of projects with different expected returns and risk profiles. The welfare loss of using a single discount rate is equivalent to a permanent reduction in consumption that lies somewhere between 15% and 45%, depending upon which familiar discounting system is used. Economists should devote more energy to support a reform of public discounting systems in favor of what has been advocated by the normative interpretation of modern asset pricing theories over the last four decades.

US and EA Yield Curve Persistence during the COVID-19 Pandemic
Papailias, Fotis
This paper investigates changes in persistence caused by the COVID-19 pandemic in the US and EA yield curves. We extract the long-term, short-term and medium-term factors and proxy the persistence by estimating the autoregressive coefficient of each factor. To examine the time-varying effects, we employ a local linear estimation. Our findings suggest that, during the first phases of the pandemic, the US long-term and short-term factors exhibited explosive behaviour while, at the same time, the EA factors diminished in persistence, making the EA yield curve more predictable even though the EA countries were hit by the pandemic somewhat earlier than the US.

Un Modelo Para Pronosticar Estados Financieros De Pequeñas Empresas Y Desempeño De Las Empresas (a Model for Forecasting Small Business Financial Statements and Firm Performance)
Jalbert, Terrance
Spanish abstract: El pronóstico de los estados financieros y la realización de un análisis financiero comprensivo constituye un desafío considerable para los emprendedores o pequeñas empresas. Los estudiantes de diversos cursos de emprendimiento, finanzas y contabilidad también enfrentan este reto. Este artículo presenta una plantilla de hoja de cálculo que ayuda a los emprendedores y estudiantes con esta tarea. La plantilla crea estados financieros proforma, un presupuesto de capital, cálculos de valor de empresa y análisis de ratios. La plantilla aborda consideraciones específicas de las empresas emergentes (startups). La plantilla proporciona flexibilidad que permite adaptaciones a diversos emprendedores y para cumplir con los objetivos de aprendizaje de los cursos en diferentes niveles.English abstract: Forecasting financial statements and preparing financial analysis involves complex and challenging work. Entrepreneurs along with students in entrepreneurship, finance and accounting courses face an, often intimidating, task. This paper provides a spreadsheet-based template to assist users with these efforts. The template assists users with forecasted financial statements, creating a capital budget, calculating firm value and completing ratio analysis. The template provides specific tools to incorporate considerations related to start-up firms. The template’s flexibility allows adaptions to any firm and to meet learning objectives for numerous courses.

Una Herramienta De Gestión Para Crear Estados Financieros Proforma (an Enhanced Management Tool for Creating Pro-Forma Financial Statements)
Jalbert, Terrance
Spanish abstract: La creación de estados financieros proforma presenta un reto para los emprendedores que no cuentan con una amplia formación en finanzas y contabilidad. Este documento es el tercero de una serie que proporciona herramientas para ayudar a los(as) gerentes y emprendedores(as) a crear estas estimaciones. El enfoque requiere que los usuarios calculen solo las variables de administración. La plantilla completa todos otros cálculos necesarios. Este documento amplía las versiones anteriores introduciendo automatizaciones adicionales. Específicamente, la plantilla presentada en este artículo automatiza los impuestos y el costo de los cálculos de capital.English abstract: The creation of pro-forma financial statements presents a challenge for entrepreneurs without extensive training in finance and accounting. This paper is the third in a series that provides tools to assist managers with creating these estimates. The approach requires users to estimate only management variables. The template completes all other necessary calculations. This paper extends earlier work by introducing additional automation. Specifically, the template here automates tax and cost of capital calculations.

Viaticals in the COVID-19 Pandemic Era
Ghosh, Syamal,Stowe, John D.
Viaticals are life insurance settlement contracts where the investor purchases a life insurance policy from a terminally ill policyholder. In these cases, the present value of the policyholder’s cash flows is substantially above the cash surrender value and below the face value of the policy. The COVID-19 virus (also referred to as SARS-CoV-2 or the coronavirus) has killed and shortened the expected lifespan of many victims, much like HIV-AIDS and other terminal illnesses. This paper suggests a valuation model for a life settlement contract as the framework to contrast the usefulness of viatical contracts during the current COVID-19 pandemic compared to the HIV/AIDS crisis. Contrasting the diseases leads us to believe that viaticals are less useful for dying COVID-19 victims, although they may prove useful for a subset of COVID-19 survivors who suffer life-shortening organ damage.

“Job Satisfaction and Organizational Commitment. A Case Study: Professors and Administrative Staff of the Al Dar University College”.
Velde, Nagaraju
Abstract Job satisfaction and organizational commitment that play a very important role in the growth and survival of organizations and reduce delays and layoffs of employees and increase the level of efficiency and effectiveness in organizations. The study, entitled “Investigating the Relationship between Job Satisfaction and Organizational Commitment from the Perspective of Professors and Administrative Staff of the Al Dar University college is a descriptive â€"correlation al study. Its main purpose was to study the relations hip between job satisfaction and organizational commitment. The statistical population is the professors and staff of the Aldar University College. Due to the small number of professors and staff of this institution, all of them (53) have been included in the research. In this study, the required information was collected by two questionnaires of job satisfaction and organizational commitment and was analyzed using software and its descriptive and inferential results are described in the tables which in the Descriptive method describes the variables of satisfaction. Job (nature of work, co -workers, growth opportunities and payments) and organizational commitment variables (emotional commitment, continuous commitment ) and in inferential analysis by correlation test or Pearson correlation to test hypotheses and analyze the relationship between Job satisfaction and organizational commitment are addressed. The results of the research show that the majority of the employees of this institution are satisfied with their work; but They are not satisfied with the behavior and attitude of the supervisors. On the contrary, the majority of the employees of this institution read the behavior of their colleagues as friendly and satisfied. The majority of the employees of this organization have said that there is no suitable opportunity for growth and promotion. The majorities of the employees of this institution are interested in this organization and consider the problems of the organization as their problems; but they do not see the current organization as suitable for securing their future, and they will leave the organization if they are offered a better job elsewhere. The results showed that the majority of the faculty and staff of this organization are below the level of job satisfaction (supervisors, growth opportunities and payments) and are below the level of continuous commitment.Regarding the hypotheses, the research showed that there is no relationship between the nature of work and emotional commitment. There is a significant relationship between the behavior of supervisors and normative commitment. There is no significant relationship between employee behavior and normative commitment. There is a significant and positive relationship between growth opportunities and pay and continuous commitment. There is a positive and significant relationship between job satisfaction and organizational commitment of the professors and staff of the Aldar University College.

“Less is More”: Credit Default Swaps and Firm Cyclicality
Norden, Lars,Yin, Chao,Zhao, Lei
Firm cyclicality decreases by around 40% after the inception of credit default swap (CDS) trading. The effect is due to CDS firms’ lower asset growth-GDP growth sensitivity in good times and stronger for firms facing a more severe exacting creditor problem, i.e., those with powerful shareholders, high industry Q, high liquidation costs and low ratings. Moreover, CDS trading impedes unhealthy growth and increases profitability and market value. The effect is not due to lower M&A activity of CDS firms and robust before and after the global financial crisis. The evidence highlights an important disciplining effect of CDS on corporate growth.