1,720,963 research outputs found
Essays on the Predictive Content of Option Prices and Tail Uncertainty of Asset Returns
Get PDFThis thesis explores two key elements that have been the subject of academic and practical review for many years. First is the identification of predictors of the equity premium, and second is the construction of a profitable portfolio. The first two empirical studies employ established techniques that can categorise predictors as either strong, relatively strong, or weak, based on their predictive performance across different parts of their distribution (quantiles), alongside other techniques that combine forecasts from different univariate, or multivariate models. The academic literature for the last years has conformed around the validity of certain economic indicators, which this thesis aims to expand by employing information from the option markets. In the first exercise, the information from the CBOE indices is targeted, with a somewhat weak performance in generating out-of-sample point forecasts. The VIX index was the dominantly selected variable out of all the CBOE indices. While there were no significant values across allquantiles consistently, all in all, there is evidence that some of the indices have predictive information on a few selected quantile levels. The second exercise further expands from the indices and employs directly option-implied information from the market. These,now daily frequented, variables were consistently selected by the penalising out-of-sample algorithm, and proved to be selected over any of the other economic variables that the literature had already established. Density forecasts were as well created. However, there was some evidence to suggest that only a minority of the option-implied information could provide significant density forecasts. The final exercise inspired by the density forecasts employs a Bayesian approach in order to estimate future values and risk of the asset's distributional parameters. This application allowed for creating a constantly short-long position that proved to yield a positive cumulative return by the end of the trading positions
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Climate factor and banks’ resilience: Evidence from US banks
Get PDFThis study explores how the climate factor impacts the resilience of the US banking system. Using an extended sample of banks, spanning the period 2000-2020, the findings document a negative effect of this climate factor on banks’ resilience. They also highlight the role of climate risk over the post-global financial crisis period. The results could have a substantial value as climate conditions can serve as an early warning system for policymakers and regulators in detecting signs of weakness, calling for immediate actions to mitigate potential vulnerabilities of banks
Transition climate risks and corporate risky asset holdings: evidence from US firms
Get PDFUsing data from US firms over 22 years, this paper shows that firms’ risky asset holdings are negatively associated with their transition climate risks exposure. The evidence remains robust across model specifications and robustness checks, while is more pronounced for financially constrained firms. The findings are consistent with the precautionary motive framework and imply that firms need to reduce their risky asset holdings in the event of negative shocks of transition climate risks
Climate factor and banks’ resilience: Evidence from US banks
No full textThis study explores how the climate factor impacts the resilience of the US banking system. Using an extended sample of banks, spanning the period 2000-2020, the findings document a negative effect of this climate factor on banks’ resilience. They also highlight the role of climate risk over the post-global financial crisis period. The results could have a substantial value as climate conditions can serve as an early warning system for policymakers and regulators in detecting signs of weakness, calling for immediate actions to mitigate potential vulnerabilities of banks
Silver prices and solar energy production
No full textThe goal of this paper is to identify, for the first time, the role of solar production in driving silver prices. The empirical analysis makes use of the ARDL model and the combined cointegration. The results, spanning the period 1990–2016, document that stronger solar installed capacities, as well as higher gross electricity production from solar sources, lead to higher silver prices. The findings could be of great importance to silver suppliers and to energy policymakers and regulators, as well as to solar panel manufacturers
Transition climate risks and corporate risky asset holdings:: evidence from US firms
No full textUsing data from US firms over 22 years, this paper shows that firms’ risky asset holdings are negatively associated with their transition climate risks exposure. The evidence remains robust across model specifications and robustness checks, while is more pronounced for financially constrained firms. The findings are consistent with theprecautionary motive framework and imply that firms need to reduce their risky asset holdings in the event of negative shocks of transition climate risks
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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