Research articles for the 2021-06-29

A Simple Solution to the Multi-Dimensionality in Option Pricing
Alghalith, Moawia
We devise a method to circumvent the complexity that arises from the option multi-dimensionality. That is, we transform the model to make it as simple as the one-dimensional case. Furthermore, the assumption of comonotonicity and other assumptions regarding the structure of the underlying asset become needless.

Algorithmic Trading and Market Quality: International Evidence of the Impact of Errors in Colocation Dates
Aitken, Michael J.,Cumming, Douglas J.,Zhan, Feng
This paper examines evidence on colocation dates and their impact on market efficiency. International colocation dates can be sourced from a number of avenues including: an exchange’s news announcements and reports, news media, and by direct communication with the officers of an exchange. Boehmer et al. (2021) report colocation dates based on and and do not reference prior work that reports colocation dates that are primarily sourced from. The consequence is that the discrepancies between prior studies and Boehmer et al. (2021) are significant and economically meaningful: the errors average 12.75 months with the largest being 46 months. This paper documents these discrepancies and provides evidence of how these differences in co-location dates matter for evidence on their impact on market efficiency: the evidence in Boehmer et al. (2021) does not hold when corrected colocation dates are used for a subset of the exchanges based on data from. We also provide evidence that these differences in co-location dates appear not to be random as claimed by Boehmer et al. (2021).

An expert survey to assess the current status and future challenges of energy system analysis
Fabian Scheller,Frauke Wiese,Jann Michael Weinand,Dominik Franjo Dominković,Russell McKenna

Decision support systems like computer-aided energy system analysis (ESA) are considered one of the main pillars for developing sustainable and reliable energy transformation strategies. Although today's diverse tools can already support decision-makers in a variety of research questions, further developments are still necessary. Intending to identify opportunities and challenges in the field, we classify modelling capabilities (32), methodologies (15) implementation issues (15) and management issues (7) from an extensive literature review. Based on a quantitative expert survey of energy system modellers (N=61) mainly working with simulation and optimisation models, the status of development and the complexity of realisation of those modelling topics are assessed. While the rated items are considered to be more complex than actually represented, no significant outliers are determinable, showing that there is no consensus about particular aspects of ESA that are lacking development. Nevertheless, a classification of the items in terms of a specially defined modelling strategy matrix identifies capabilities like land-use planning patterns, equity and distributional effects and endogenous technological learning as "low hanging fruits" for enhancement, as well as a large number of complex topics that are already well implemented. The remaining "tough nuts" regarding modelling capabilities include non-energy sector and social behaviour interaction effects. In general, the optimisation and simulation models differ in their respective strengths, justifying the existence of both. While methods were generally rated as quite well developed, combinatorial optimisation approaches, as well as machine learning, are identified as important research methods to be developed further for ESA.

Are Potential Tax Benefits Priced in Mergers and Acquisitions?
Yorke, Sally,Mo, Phyllis Lai Lan
Prior studies suggest that private firms pay less for acquisitions compared to public firms. In this study, we examine whether there are differences in the tax characteristics of target firms acquired by public and private bidders and whether such differences can explain variations in the premiums they offer. Our results show that relative to private bidders, public bidders acquire firms with tax attributes that can directly reduce cash taxes payable without affecting accounting income. Specifically, targets with foreign income, tax refund account and targets that are tax aggressive have a higher probability of being acquired by public firms, while those with tax credits and deferred tax assets, net operating losses and capital-loss carry-forwards have a lower probability of being acquired by public firms relative to private firms. We also find that some differences exist in the valuation of target firms' tax attributes. Public bidders, in contrast to private bidders, value potential tax benefits from acquiring a target with foreign income and tax refunds. They also value the potential tax benefits from targets that manage earnings. However, the tax aggressiveness of a target influences the acquisition and pricing by both types of bidders. Overall, our results suggest that both public and private firms make acquisitions strategically to reduce overall tax payments. By providing evidence on the role of taxes in M&A transactions, our findings inform policymakers on tax-related motivations of acquisitions by private and public Abstract

Auctioning Annuities
Gaurab Aryal,Eduardo Fajnzylber,Maria F. Gabrielli,Manuel Willington

We propose and estimate a model of demand and supply of annuities. To this end, we use rich data from Chile, where annuities are bought and sold in a private market via a two-stage process: first-price auctions followed by bargaining. We model firms with private information about costs and retirees with different mortalities and preferences for bequests and firms' risk ratings. We find substantial costs and preference heterogeneity, and because there are many firms, the market performs well. Counterfactuals show that simplifying the current mechanism with English auctions and "shutting down" risk ratings increase pensions, but only for high-savers.

Building Alberta's Financial Sector
Mintz, Jack,Wilson, L. Daniel ,Tingle, QC, Bryce
A discussion of the policy initiatives that might be pursued by the Government of Alberta to facilitate the growth of Alberta's Financial Sector.

Corporate Managerial Ability, Earnings Smoothing, and Acquisitions
Doukas, John A.,Zhang, Rongyao
This paper examines whether high-ability managers’ earnings smoothing is motivated by the need to mitigate the adverse effects of heightened information asymmetry triggered by mergers and acquisitions (M&As) on managers’ reputation capital (job loss) and firm value. We document that acquirers led by high-ability managers engage in more pre-acquisition earnings smoothing and experience more significant announcement abnormal returns and operating performance in post-M&A periods than their low-ability counterparts. This result is consistent with the theory of managerial response to asymmetric information, amplified by M&As, where high-ability managers use earnings smoothing as a signaling device to ensure that the market quickly discovers their superior abilities, to increase acquirers’ future growth prospects and avoid the adverse effects of information asymmetry on managers’ job security and career prospects in a competitive executive labor market.

Does One Size Fit All? Comparing the Determinants of Fintech Market Segments Expansion (Conference Presentation)
Stolbov, Mikhail,Shchepeleva, Maria
The presentation is based on the study "Does one size fit all? Comparing the determinants of Fintech market segments expansion" by Mikhail I. Stolbov (MGIMO University) and Maria A. Shchepeleva (NRU HSE), as presented at 37th Symposium on Money, Banking and Finance, 17 June 2021.

Does the Diversity and Solvency of Authorized Participants Matter for Bond ETF Arbitrage? Evidence from the Dash for Cash Episode
Raddatz, Claudio E.
Authorized participants’ (APs) arbitrage in primary markets for ETF shares plays a key role in limiting dislocation in ETF prices. This paper builds a novel dataset of detailed US bond ETF-AP relationships and shows that high AP leverage played a significant role in weakening this arbitrage during the dash-for-cash episode of March 2020. The strength of the arbitrage relationship linking price signals to primary market activity weakened by 77 percent in ETFs related to more leveraged APs versus 64 percent for ETFs linked to less leveraged APs. This effect was particularly strong among those ETFs focusing on less liquid asset classes, relying on APs engaging in high-frequency trading strategies, and unrelated to banks and bank holding companies. Policy announcements by the Federal Reserve did not have had a strong impact in restoring arbitrage strength. AP leverage constraints operated in parallel to constraints faced by lead-market makers in secondary ETF markets, which were more closely related to regulatory capital limits.

ESGM: ESG scores and the Missing pillar
Özge Sahin,Karoline Bax,Sandra Paterlini,Claudia Czado

Environmental, social, and governance (ESG) scores measure companies' activities concerning sustainability and societal impact and are organized on three pillars: Environmental (E-), Social (S-), and Governance (G-). Different approaches have been proposed to compute ESG scores for companies, which typically rely on the aggregation of many and different sources of information. These complementary non-financial ESG scores should provide information about the ESG performance and risks of different companies. However, the extent of missing information makes the reliability of ESG scores questionable. To account for the missing information in the underlying ESG pillars, we introduce a new pillar, the so-called Missing (M-) pillar, and propose an optimization approach to compute new ESG (ESGM) scores, which should also be related to the company riskiness. As a result, the ESGM scores allow for incorporating the extent of missing information and establishing some meaningful relationship with respect to the riskiness of the companies under consideration. Interesting insights into the current limitations of ESG scoring methodology are discussed.

Effect of Labour Income on the Optimal Bankruptcy Problem
Guodong Ding,Daniele Marazzina

In this paper we deal with the optimal bankruptcy problem for an agent who can optimally allocate her consumption rate, the amount of capital invested in the risky asset as well as her leisure time. In our framework, the agent is endowed by an initial debt, and she is required to repay her debt continuously. Declaring bankruptcy, the debt repayment is exempted at the cost of a wealth shrinkage. We implement the duality method to solve the problem analytically and conduct a sensitivity analysis to the cost and benefit parameters of bankruptcy. Introducing the flexible leisure/working rate, and therefore the labour income, into the bankruptcy model, we investigate its effect on the optimal strategies.

Empirical Framework for Cournot Oligopoly with Private Information
Gaurab Aryal,Federico Zincenko

We propose an empirical framework for Cournot oligopoly with private information about costs. First, considering a linear demand with a random intercept, we characterize the Bayesian Cournot-Nash equilibrium and determine its testable implications. Then we establish nonparametric identification of the joint distribution of demand and technology shock and firm-specific cost distributions. Finally, we propose a likelihood-based estimation method and apply it to the global crude oil market. Using counterfactuals, we also quantify the effect of firms sharing information about their costs on consumer welfare. We also extend the model to include either firm-specific conduct parameters, nonlinear demand, or selective entry.

Exploring the trilemma of cost-efficient, equitable and publicly acceptable onshore wind expansion planning
Jann Michael Weinand,Russell McKenna,Heidi Heinrichs,Michael Roth,Detlef Stolten,Wolf Fichtner

Onshore wind development has historically focused on cost-efficiency, which may lead to inequitable turbine distributions and public resistance due to landscape impacts. Using a multi-criteria planning approach, we show how onshore wind capacity targets can be achieved by 2050 in a cost-efficient, equitable and publicly acceptable way. For the case study of Germany, we build on the existing turbine stock and use open data on technically feasible turbine locations and scenicness of landscapes to plan the optimal expansion. The analysis shows that while the trade-off between cost-efficiency and public acceptance is rather weak with about 15% higher costs or scenicness, an equitable distribution has a large impact on these criteria. Although the onshore wind capacity per inhabitant could be distributed about 220% more equitably through the expansion, equity would severely limit planning flexibility by 2050. Our analysis assists stakeholders in resolving the onshore wind expansion trilemma.

Getting Closer or Falling Apart? Euro Countries After the Euro Crisis
Bordignon, Massimo,Gatti, Nicolò,Onorato, Massimiliano Gaetano
We study convergence and divergence dynamics in a sample of EMU countries by assembling an extensive dataset that contains information on public spending and policy outcomes in a variety of areas of government intervention including education, health, and civil justice from the early 1990s. We also focus on other important determinants of a country’s economic performance such as the level of regulation of product and labor markets, as well as the trust in political institutions, quality of governance and inequality. Results show that despite divergent economic growth in the Euro periphery countries after the 2011-13 Euro crisis, the quality of services and level of regulation did not deteriorate or indeed improved, increasing convergence with the core Euro countries. However, the debt crisis dramatically worsened citizens’ perceptions of quality of governance as well as the level of social trust. The very different approach followed with the COVID crisis might have mitigated the problem, but the Euro project has still shaky foundations. This calls in question its future political viability and asks for reform.

Impacts of COVID-19 on Households in ASEAN Countries and Their Implications for Human Capital Development
Morgan, Peter,Trinh, Long Q.
The outbreak of the COVID-19 virus and the resulting falls in demand due both to uncertainty and policy interventions such as lockdowns, “social distancing,” and travel restrictions are having a severe impact on Asian economies and hence on Asian households. These negative impacts come through a variety of channels, including loss of employment or reduced working hours, loss of sales and income of a household business, inability to travel to work, increased need to stay at home to look after children or sick household members, higher prices and/or lack of availability of staple items, reduced access to schooling, etc.To better understand these impacts, we carried out computer-assisted telephone interviews of households in eight ADB developing member countries: Cambodia, the Lao People’s Democratic Republic, Indonesia, Malaysia, Myanmar, the Philippines, Thailand, and Viet Nam. Our empirical results suggest that various household characteristics, including household income class (before COVID-19), household demographic factors, and COVID-19-induced factors such as having at least one person who lost their job or being located in lockdown areas, all affected the likelihood of a decline in income. In all countries, having at least one person who lost their job or had reduced working time increases the likelihood of experiencing financial difficulties by 17 percentage points. About 27% of children who stopped attending school could not fully participate in online learning programs due to weak/insufficient internet connections and a lack of digital devices. Two COVID-19-related factorsâ€"having at least one person who lost their job or had working hours reduced and experiencing financial difficultiesâ€"significantly affect the intensity of online classes taken by children in an average household.

Machine Learning, Corporate Bankruptcies and Variable Selection
Rossi, Ludovico
I employ a variety of machine learning techniques to predict corporate bankruptcies. I compare machine learning techniques' predictions with the ones of reduced-form regressions and structural models. To assess the performances of different models, I compute a range of scores both in-sample and out-of-sample. I show that neural networks produce better predictions than other machine learning methods, reduced-form regressions and structural models. I provide evidence that a small set of variables consistently predict bankruptcy for firms of different dimensions, over different periods and in different industries.

Management Practices and Takeover Decisions
Delis, Manthos D.,Kazakis, Pantelis,Zopounidis, C.
Firms with good management practices optimize and synthesize human resources, leadership, and technical and conceptual skills to enhance firm value. In this paper, we examine the role of management practices in merger and acquisition (M&A) decisions. M&A decisions are among the most important corporate decisions, on which firms spend a lot of resources and managerial qualities. We estimate management practices as a latent variable using a structural equation production model and Bayesian techniques. The key advantage of the Bayesian approach is the use of informative priors from survey-based management estimation methods, which are however available for a limited number of firms. Subsequently, we examine the effect of management practices on takeover events. We first show that management practices, on average, increase the probability of M&A deals. However, we also uncover a nonlinear U-shaped effect, which is consistent with the theoretical premise that poor management leads to many value-decreasing M&A deals, whereas good management leads to many value-increasing M&A deals.

Managerial Ability, Corporate Social Culture, and M&As
Doukas, John A.,Zhang, Rongyao
We investigate the predictive power of corporate social culture, as measured by corporate social responsibility (CSR) intensity, on shareholder wealth when mergers and acquisitions (M&As) are carried out by managers with different traits. We find acquiring firms with talented managers are more inclined to engage in CSR activities to shape corporate social culture, thereby realizing larger short- and long-term gains than their counterparts. We also document that acquiring firms with higher levels of CSR commitment led by talented managers tend to acquire targets of similar corporate social culture and experience significantly positive post-merger returns, suggesting that corporate cultural similarity constitutes an important source of M&A synergies. These findings suggest that corporate culture built through stakeholder relations acts as a differentiation strategy that pays off when skilled managers engage in M&As, which typically prompt information asymmetries between managers and outsiders.

Numerical approximation of singular Forward-Backward SDEs
Jean-François Chassagneux,Mohan Yang

In this work, we study the numerical approximation of a class of singular fully coupled forward backward stochastic differential equations. These equations have a degenerate forward component and non-smooth terminal condition. They are used, for example, in the modeling of carbon market[9] and are linked to scalar conservation law perturbed by a diffusion. Classical FBSDEs methods fail to capture the correct entropy solution to the associated quasi-linear PDE. We introduce a splitting approach that circumvent this difficulty by treating differently the numerical approximation of the diffusion part and the non-linear transport part. Under the structural condition guaranteeing the well-posedness of the singular FBSDEs [8], we show that the splitting method is convergent with a rate $1/2$. We implement the splitting scheme combining non-linear regression based on deep neural networks and conservative finite difference schemes. The numerical tests show very good results in possibly high dimensional framework.

PolicySpace2: modeling markets and endogenous housing policies
Bernardo Alves Furtado

Policymakers decide on alternative policies facing restricted budgets and uncertain, ever-changing future. Designing housing policies is further difficult given the heterogeneous characteristics of properties themselves and the intricacy of housing markets and the spatial context of cities. We propose PolicySpace2 (PS2) as an adapted and extended version of the open source PolicySpace agent-based model. PS2 is a computer simulation that relies on empirically detailed spatial data to model real estate, along with labor, credit, and goods and services markets. Interaction among workers, firms, a bank, households and municipalities follow the literature benchmarks to integrate economic, spatial and transport literature. PS2 is applied to a comparison among three competing municipal housing policies aimed at alleviating poverty: (a) property acquisition and distribution, (b) rental vouchers, and (c) monetary aid. Within the model context, the monetary aid, that is, smaller amounts of help for a larger number of households, makes the economy perform better in terms of production, consumption, reduction of inequality, and maintenance of financial duties. PS2 as such is also a framework that may be further adapted to a number of related research questions.

Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?
Capponi, Agostino,Olafsson, Sveinn,Alsabah, Humoud
Does the proof-of-work protocol serve its intended purpose of supporting decentralized cryptocurrency mining? To address this question, we develop a game-theoretical model where miners first invest in hardware to improve the efficiency of their operations, and then compete for mining rewards in a rent-seeking game. We argue that because of capacity constraints faced by miners, centralization in mining is lower than indicated by both public discourse and recent academic work. We show that advancements in hardware efficiency do not necessarily lead to larger miners increasing their advantage, investment in new hardware contributes to decentralization but rather allow smaller miners to expand and new miners to enter the competition. Our calibrated model illustrates that hardware efficiency has a small impact on the cost of attacking a network, while the mining reward has a significant impact. This highlights the vulnerability of smaller and emerging cryptocurrencies, as well as of established cryptocurrencies transitioning to a fee-based mining reward scheme.

Rights Offers and Delaware Law
Fried, Jesse M.
Under Delaware law, a securities issuance in which all existing investors may participate pro rata (a “rights offer”) is often seen as treating insiders and outsiders equally, making it difficult for nonparticipating outsiders to prevail on a claim that insiders sold themselves cheap securities. I show that insiders can use rights offers to sell themselves cheap securities, even if outsiders are sophisticated and well-capitalized. My analysis suggests courts applying Delaware law should more aggressively probe rights offers for substantive fairness. I conclude by describing red flags indicating a heightened risk of expropriation.

Scale analysis for on-demand ridepooling systems and comparison with public transport
Andres Fielbaum,Alejandro Tirachini,Javier Alonso-Mora

On-demand ridepooling (ODRP) can become a powerful alternative to reduce congestion and emissions, if it attracts private car users rather than from public transport. Therefore, it is crucial to identify the strategic phenomena that determine when ODRP systems can run efficiently, and understand when they could be integrated into a public transport network. In this paper, we analyze the performance of an ODRP system operated in a zone covered by a single public transport line. The fleet of low-capacity vehicles is endogenously adapted to the demand. Considering both users' and operators' costs, we identify two sources of scale economies: when demand grows, the average cost is reduced due to an equivalent of the Mohring Effect (that is present in public transport), and due to matching the users in more compatible groups when they are assigned to the vehicles, which we call Better-matching Effect. A counter-balance force, called Flex-route Effect, is observed when the vehicle loads increase and users face longer detours. We find a specific demand range in which this last effect dominates the others, imposing diseconomies of scale when only users' costs are considered. Such a phenomenon is not observed in public transport systems based on fixed routes. However, when considering both users' and operators' costs, scale economies prevail. We compare the ODRP results against public transport, for a feeder line and a circular line with homogeneous demand. We show that ODRP is more competitive when users share a common destination (the feeder line) and when the demand is low, although scale effects suggest that ODRP can also play a role when the demand is high. Relaxing door-to-door vehicle requirements to allow short walks, is shown to be crucial for ODRP to become a viable alternative for both human-driven and automated vehicles, if the ODRP must serve all requests.

Startup & Unicorn Growth Valuation
Aigner, Andreas A.,Schrabmair, Walter
How do you value companies which have IPOed recently? How do you compare them amongst their peers? Valuing companies using a linear extrapolation of their revenues and profits leads to an ingenious method to benchmark stocks against each other. Here we present such a method, dubbed the growth average U1. The Appendix includes MySQL code to calculate the extrapolation insitu and a list of Top10 tables for various MarketCaps.

The Ecological System of Innovation: A New Architectural Framework for a Functional Evidence-Based Platform for Science and Innovation Policy
Robert M Yawson

Models on innovation, for the most part, do not include a comprehensive and end-to-end view. Most innovation policy attention seems to be focused on the capacity to innovate and on input factors such as R&D investment, scientific institutions, human resources and capital. Such inputs frequently serve as proxies for innovativeness and are correlated with intermediate outputs such as patent counts and outcomes such as GDP per capita. While this kind of analysis is generally indicative of innovative behaviour, it is less useful in terms of discriminating causality and what drives successful strategy or public policy interventions. This situation has led to the developing of new frameworks for the innovation system led by National Science and Technology Policy Centres across the globe. These new models of innovation are variously referred to as the National Innovation Ecosystem. There is, however, a fundamental question that needs to be answered: what elements should an innovation policy include, and how should such policies be implemented? This paper attempts to answer this question.

The Good, the Bad, and the not-so Ugly of Credit Booms: Capital Allocation and Financial Constraints
Braun, Matías,Marcet, Francisco,Raddatz, Claudio E.
We provide international empirical evidence that periods of rapid expansion in credit â€" credit booms â€" lead to a tradeoff between a relaxation of financial constraints and a worsening of capital allocation. This tradeoff is stronger across small, financially constrained, and more innovative firms, as well as for firms in less tangible industries. In advanced economies the misallocation effect is stronger than the relaxation of financial constraints, and the opposite is true among emerging markets. Credit booms with larger capital misallocation are associated with a higher probability of experiencing a banking crisis and with poor economic and financial performance after the boom.

The Jobs Act Did Not Raise IPO Underpricing
Even-Tov, Omri,Patatoukas, Panos N.,Yoon, Young S.
While the intended goal of the 2012 JOBS Act was to ease access to capital for Emerging Growth Companies (EGCs), prior studies, notably Barth et al. (2017), find evidence of an increase in IPO underpricing and a higher cost of equity capital for EGC issuers. Using a difference-in-differences design, we find that changes in overall IPO market conditions explain the seeming increase in IPO underpricing. In fact, EGC issuers that take advantage of the accounting disclosure relief afforded by the Act raise capital at higher pre-IPO multiples. These reduced-accounting disclosure EGCs have more speculative valuation profiles and lower institutional ownership and are more likely to destroy long-term shareholder value in the IPO aftermarket. Overall, our paper offers an alternative perspective on the effect of the JOBS Act on IPO pricing.

The Variance Gamma++ Process and Applications to Energy Markets

The purpose of this article is to introduce a new L\'evy process, termed Variance Gamma++ process, to model the dynamic of assets in illiquid markets. Such a process has the mathematical tractability of the Variance Gamma process and is obtained applying the self-decomposability of the gamma law. Compared to the Variance Gamma model, it has an additional parameter representing the measure of the trading activity. We give a full characterization of the Variance Gamma++ process in terms of its characteristic triplet, characteristic function and transition density. In addition, we provide efficient path simulation algorithms, both forward and backward in time. We also obtain an efficient "integral-free" explicit pricing formula for European options. These results are instrumental to apply Fourier-based option pricing and maximum likelihood techniques for the parameter estimation. Finally, we apply our model to illiquid markets, namely to the calibration of European power future market data. We accordingly evaluate exotic derivatives using the Monte Carlo method and compare these values to those obtained using the Variance Gamma process and give an economic interpretation of the obtained results. Finally, we illustrate an extension to the multivariate framework.

The separation of market and price in some free competitions and its related solution to the over-application problem in the job market
Vincent Zha

According to common understanding, in free completion of a private product, market and price, the two main factors in the competition that leads to economic efficiency, always exist together. This paper, however, points out the phenomenon that in some free competitions the two factors are separated hence causing inefficiency. For one type, the market exists whereas the price is absent, i.e. free, for a product. An example of this type is the job application market where the problem of over-application commonly exists, costing recruiters much time in finding desired candidates from massive applicants, resulting in inefficiency. To solve the problem, this paper proposes a solution that the recruiters charge submission fees to the applications to make the competition complete with both factors, hence enhancing the efficiency. For the other type, the price exists whereas the market is absent for a product. An example of this type is the real estate agent market, where the price of the agents exists but the market, i.e. the facility allowing the sellers' information to be efficiently discovered, is largely absent, also causing inefficiency. In summary, the contribution of this paper consists of two aspects: one is the discovery of the possible separation of the two factors in free competitions; the other is, thanks to the discovery, a solution to the over-application problem in the job market.

Trading with the Crowd
Neuman, Eyal,Voss, Moritz
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with taking into account a common general price predicting signal. The unique Nash-equilibrium strategies reveal how each agent's liquidation policy adjusts the predictive trading signal to the aggregated transient price impact induced by all other agents. This unfolds a quantitative relation between trading signals and the order flow in crowded markets. We also formulate and solve the corresponding mean field game in the limit of infinitely many agents. We prove that the equilibrium trading speed and the value function of an agent in the finite $N$-player game converges to the corresponding trading speed and value function in the mean field game at rate $O(N^{-2})$. In addition, we prove that the mean field optimal strategy provides an approximate Nash-equilibrium for the finite-player game.

What Explains Gender Gap in Unpaid Household and Care Work in India?
Athary Janiso,Prakash Kumar Shukla,Bheemeshwar Reddy A

Women bear a disproportionate burden of unpaid household and care work across the world and especially in South Asia. However, due to the unavailability of nationally representative data on time use, a systematic analysis of the gender gap in unpaid household and care work has not been made in the context of India. The present paper, using the recent Time Use Survey (2019) data addresses two concerns. First, it examines the socioeconomic and demographic factors associated with variation in the time spent on unpaid household and care work among men and women. Second, it analyses how much of the gender gap in the time allocated to unpaid work can be explained by the difference in socioeconomic and demographic factors of men and women by employing the Oaxaca-Blinder technique. The findings show that women spend much higher time than men in unpaid household and care work. We find that marital status, employment, having additional females in the household are the most important predictors of time devoted to unpaid household work among women. The decomposition results reveal that differences in socioeconomic and demographic factors between men and women do not explain most of the gender gap in unpaid household work. Our results suggest that it is not the rational economic choices that determine the division of household chores between women and men; instead, unobserved gender norms and practices govern the allocation of unpaid work within Indian households.

When Do Investors Know? Security Class Action Lawsuits, Short Selling, and Pre-filing News Releases
Stivers, Chris T.,Sun, Licheng,Saha, Sounak
Prior literature on security class-action lawsuits generally treats the lawsuit filing day as the day when the event become public, in terms of evaluating event-study returns and informed shorting activity. However, in the days prior to the lawsuit filing, our investigation reveals that there are public announcements of law-firm investigations into more than half of the sued firms. Over our 2009-2019 sample, accounting for these pre-filing investigation announcements weakens prior evidence that suggested short-selling investors tend to anticipate the lawsuit filing from private information or inference from related industry litigation. Strikingly, the average cumulative abnormal return over the 5-day pre-event filing window is about -6.5% for our full sample (similar to prior studies) but it is only about -2.2% when excluding the lawsuits with a recent pre-filing investigation announcement. Regarding responses to the public news releases, we find that: (1) the coincident abnormal short selling and negative abnormal returns are much larger for the higher quality lawsuits, and (2) the abnormal shorting coincident with the initial public news about the lawsuit is reliably negatively related to the post-news abnormal return. Thus, in addition to weakening an anticipatory shorting view, our evidence provides considerable support to conclusions in Engelberg, Reed, and Ringenberg (2012) - - that short sellers are skilled at analyzing publicly available information.

Опыт и уроки публичных размещений акций на фондовых рынках США, Китая и России (Experiences and Lessons of Public Offerings on the Stock Markets of the USA, China and Russia)
Abramov, Alexander E.,Kosyrev, Andrey,Radygin, Alexander,Chernova, Maria
Russian Abstract: Публичные размещения акций играют все более важную роль в финансировании ускоренного развития компаний, представляющих новую экономику. Рынок IPO стал предметом серьезной конкуренции между США и Китаем. Российский рынок акций остается в стороне от этих процессов. Опыт США и Китая показывает, что для развития биржевого рынка IPO недостаточно формальных изменений процедур осуществления соответствующих сделок или введения каких-либо новых налоговых льгот. Нужны более серьезные институциональные преобразования, затрагивающие мотивы поведения эмитентов, инвесторов и государственных ведомств.English Abstract: Public offerings have been playing an increasingly important role in fundraising for an accelerated development of businesses in the new economy. The IPO market has triggered an intense competition between the USA and China. Russia’s stock market has stayed away from these processes. The experience of the USA and China shows that for the IPO market to properly develop, it is not sufficient just to introduce some formal changes in the specific procedures for handling certain types of stock market transactions, or any new tax incentives. It is necessary to launch more profound institutional changes targeting the motives of stock issuers, investors and government departments.

Финансовые результаты банковского сектора в первом квартале 2021 г. (Financial Results of the Banking Sector in Q1 2021)
Zubov, Sergey
Russian Abstract: Ð' первом квартале 2021 г. банки заблаговременно сформировали резервы в необходимом для них объеме. Поэтому резкого снижения прибыли в связи с постепенной отменой послаблений в части формирования резервов по крупным корпоративным кредитам не произошло. Тем не менее по сравнению с 2020 г. следует ожидать некоторого ухудшения показателя банковской рентабельности. Причина â€" возможное сокращение кредитного предложения в условиях роста кредитных рисков и уменьшения доходов от валютной переоценки в связи с укреплением рубля.English Abstract: In Q1 2021, banks formed reserves in advance in the required amount. Therefore, there was no sharp decline in profits owing to the gradual abolition of easing in terms of the formation of reserves for large corporate loans. Nevertheless, compared to 2020, we should expect a slight deterioration in the bank profitability. The reason is a possible reduction in the credit supply amidst growing credit risks and a decrease in income from currency revaluation due to the strengthening of the ruble.

Хозяйственное обозрение (февраль-май 2021 г.) (Survey of Current Business (February-May 2021))
Aukutsionek, Sergey,Yegorov, Andrey S.,Bachirova, Inessa,Serzhantova, Tatyana V.
Russian Abstract: Ð' феврале 2021 г. на 12 п.п. снизился заметно выросший в последние несколько месяцев диффузный индекс трехмесячных прогнозов цен на выпускаемую продукцию, в то время как аналогичный индекс цен на покупаемую продукцию потерял всего 6 пунктов. Текущие индексы цен также продемонстрировали снижение, но более умеренное. Ощутимо (на 15 п.п.) вырос индекс трехмесячных прогнозов финансового состояния: он достиг 61%, что в последний раз наблюдалось в 2015 г. Ожидаемые изменения диффузного индекса портфеля заказов достигли трехлетнего максимума.English Abstract: In February 2021, the diffusion index of three-month expectations for the prices of manufactured products, which had significantly increased in the past few months, decreased by 12 percentage points, while the similar price index for purchased products lost only 6 points. The current price indices also showed a decrease, but a more moderate one. The index of three-month expectations of financial condition increased significantly (by 15 pp). It reached 61%; last time it was so high in 2015. Expectations for the diffusion index of order book level reached a three-year maximum.

Цифровой рубль: риски и выгоды (Digital Ruble: Risks and Benefits)
Sinelnikova-Muryleva, Elena V.
Russian Abstract: Опубликованная Ð'анком России концепция эмиссии и обращения цифрового рубля предполагает активное выполнение кредитными организациями функций посредников между конечными пользователями и платформой цифрового рубля. Ð' связи с этим остаются актуальными риски оттока депозитов из банковского сектора, усиления роли регулятора в платежно-финансовом секторе, а также широкий набор технологических рисков вследствие необходимости построения новой разветвленной системы платежей на базе технологии распределенного реестра. Концепция цифрового рубля закрепляет значимые преимущества его использования: снижение издержек совершения платежей и повышение доступности финансовых услуг для граждан и бизнеса за счет использования офлайн-режима транзакций и применения смарт-контрактов. Ð"ля оценки соотношения рисков и выгод от использования цифрового рубля Ð'анк России планирует поэтапный запуск пилотного проекта своей цифровой валюты.English Abstract: The concept of the emission and circulation of the digital ruble published by the Bank of Russia, suggests the active implementation of the intermediary functions between the end users and the digital ruble platform by credit institutions. In this regard, the risks of an outflow of deposits from the banking sector, strengthening of the regulator’s role in the payment and financial sector, as well as a wide range of technological risks due to the need to build a new ramified payment system based on distributed ledger technology remain relevant. The concept of digital ruble consolidates the significant advantages of its circulation: reducing the costs of making payments and increasing the availability of financial services for individuals and businesses through the use of the offline transactions and smart contracts. To assess the balance of risks and benefits from using the digital ruble, the Bank of Russia plans a phased launch of a pilot project for its digital currency.