Essays In Financial Economics And Big Data
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Essays In Financial Economics And Big Data
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Author : Jannic Alexander Cutura
language : en
Publisher:
Release Date : 2020
Essays In Financial Economics And Big Data written by Jannic Alexander Cutura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Essays In Financial Economics On Heterogeneity In The Marginal Propensity To Consume
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Author : Jan Wedigo Radermacher
language : en
Publisher:
Release Date : 2022
Essays In Financial Economics On Heterogeneity In The Marginal Propensity To Consume written by Jan Wedigo Radermacher and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Three Essays In Financial Economics
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Author : Dawoon Kim
language : en
Publisher:
Release Date : 2019
Three Essays In Financial Economics written by Dawoon Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
In this dissertation, I explore three topics in financial economics focusing on how financial decision making has evolved under the various changes that surround the capital market. First, I study the potential value of big data analysis in the product market and document evidence that it may affect investors' decision making in the capital market. Second, I focus on how changes in firms operating performance result in changes in corporate decision making and firm composition around the world. Third, I focus on how changes in managerial labor market affect corporate policies. In the first chapter, I measure the likelihood of a product review being spam using machine learning techniques and show that this likelihood contains valuable information for investors. I also document evidence that this likelihood is negatively correlated with levels of independent institutional holdings. This suggests that there exist sophisticated investors with superior information processing capabilities who can filter out noises in consumer opinions and benefit from it. However, the above significant investment value in filtering out spam reviews suggests that it is not enough to fully incorporate the information into price. In the second chapter, I document that the number of public firms with persistent operating losses has increased significantly around the world and that such firms usually hold high levels of cash. I find evidence that cash holdings in firms with operating losses are positively correlated with investment, R&D, and firm value but negatively correlated with the probability of bankruptcy and delisting from public exchanges. This finding is against the view that excessive amount of cash holdings is against investors' interest. Rather, this means high levels of cash holdings in firms with operating losses is in investors' interest. In the third chapter, I document the movement of executives to new jobs across industries and show that it has grown stronger in recent decades. Then, I show evidence that shift in labor market trends are strongly correlated with changes in various corporate policies. When CEOs see better future labor market opportunities, they have more incentive to perform better in their current employment. I thus argue that an active managerial labor market mitigates incentive problems under dynamic agency models.
Thinking Ahead Essays On Big Data Digital Revolution And Participatory Market Society
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Author : Dirk Helbing
language : en
Publisher: Springer
Release Date : 2015-04-10
Thinking Ahead Essays On Big Data Digital Revolution And Participatory Market Society written by Dirk Helbing and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-10 with Computers categories.
The rapidly progressing digital revolution is now touching the foundations of the governance of societal structures. Humans are on the verge of evolving from consumers to prosumers, and old, entrenched theories – in particular sociological and economic ones – are falling prey to these rapid developments. The original assumptions on which they are based are being questioned. Each year we produce as much data as in the entire human history - can we possibly create a global crystal ball to predict our future and to optimally govern our world? Do we need wide-scale surveillance to understand and manage the increasingly complex systems we are constructing, or would bottom-up approaches such as self-regulating systems be a better solution to creating a more innovative, more successful, more resilient, and ultimately happier society? Working at the interface of complexity theory, quantitative sociology and Big Data-driven risk and knowledge management, the author advocates the establishment of new participatory systems in our digital society to enhance coordination, reduce conflict and, above all, reduce the “tragedies of the commons,” resulting from the methods now used in political, economic and management decision-making. The author Physicist Dirk Helbing is Professor of Computational Social Science at the Department of Humanities, Social and Political Sciences and an affiliate of the Computer Science Department at ETH Zurich, as well as co-founder of ETH’s Risk Center. He is internationally known for the scientific coordination of the FuturICT Initiative which focuses on using smart data to understand techno-socio-economic systems. “Prof. Helbing has produced an insightful and important set of essays on the ways in which big data and complexity science are changing our understanding of ourselves and our society, and potentially allowing us to manage our societies much better than we are currently able to do. Of special note are the essays that touch on the promises of big data along with the dangers...this is material that we should all become familiar with!” Alex Pentland, MIT, author of Social Physics: How Good Ideas Spread - The Lessons From a New Science "Dirk Helbing has established his reputation as one of the leading scientific thinkers on the dramatic impacts of the digital revolution on our society and economy. Thinking Ahead is a most stimulating and provocative set of essays which deserves a wide audience.” Paul Ormerod, economist, and author of Butterfly Economics and Why Most Things Fail. "It is becoming increasingly clear that many of our institutions and social structures are in a bad way and urgently need fixing. Financial crises, international conflicts, civil wars and terrorism, inaction on climate change, problems of poverty, widening economic inequality, health epidemics, pollution and threats to digital privacy and identity are just some of the major challenges that we confront in the twenty-first century. These issues demand new and bold thinking, and that is what Dirk Helbing offers in this collection of essays. If even a fraction of these ideas pay off, the consequences for global governance could be significant. So this is a must-read book for anyone concerned about the future." Philip Ball, science writer and author of Critical Mass “This collection of papers, brought together by Dirk Helbing, is both timely and topical. It raises concerns about Big Data, which are truly frightening and disconcerting, that we do need to be aware of; while at the same time offering some hope that the technology, which has created the previously unthought-of dangers to our privacy, safety and democracy can be the means to address these dangers by enabling social, economic and political participation and coordination, not possible in the past. It makes for compelling reading and I hope for timely action.”Eve Mitleton-Kelly, LSE, author of Corporate Governance and Complexity Theory and editor of Co-evolution of Intelligent Socio-technical Systems
Essays In Financial Economics
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Author : Yupeng Wang (Scientist in business management)
language : en
Publisher:
Release Date : 2022
Essays In Financial Economics written by Yupeng Wang (Scientist in business management) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
This dissertation contains three essays in financial economics, with a focus on the effects of new technologies on traditional financial markets including venture capital market and mortgage market.
Artificial Intelligence And Big Data For Financial Risk Management
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Author : Noura Metawa
language : en
Publisher: Taylor & Francis
Release Date : 2022-08-26
Artificial Intelligence And Big Data For Financial Risk Management written by Noura Metawa and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-08-26 with Business & Economics categories.
This book presents a collection of high-quality contributions on the state-of-the-art in Artificial Intelligence and Big Data analysis as it relates to financial risk management applications. It brings together, in one place, the latest thinking on an emerging topic and includes principles, reviews, examples, and research directions. The book presents numerous specific use-cases throughout, showing practical applications of the concepts discussed. It looks at technologies such as eye movement analysis, data mining or mobile apps and examines how these technologies are applied by financial institutions, and how this affects both the institutions and the market. This work introduces students and aspiring practitioners to the subject of risk management in a structured manner. It is primarily aimed at researchers and students in finance and intelligent big data applications, such as intelligent information systems, smart economics and finance applications, and the internet of things in a marketing environment.
Essays In Financial Economics
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Author :
language : en
Publisher:
Release Date : 2014
Essays In Financial Economics written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This dissertation sets theme to point out the importance of disaggregated data in financial economic research. The main chapter of the dissertation uses Thailand as a case study to analyze impacts of a monetary policy shock on rural economies, in which households have limited access to formal financial markets. We find large effects, both real and financial, on the rural households, which imply existence of monetary policy transmitting channels other than the traditional interest-rate and credit channels through a formal financial system. More importantly, our results show that shallow financial markets in the rural economies actually help amplify the real effects of a contractionary monetary policy shock, because households cannot borrow against such shock. In addition, we document heterogeneous effects of a tightening monetary policy shock across provinces and occupational activities. For better insight to monetary policy transmission mechanism, hence, microeconomic data are imperative inputs for investigating effects of monetary policy at disaggregated levels, which can be different from overall macroeconomic impacts. The other part of the dissertation provides a survey of recent literature related to financial flow of funds among sectors within an economy and discusses possible improvement on flow of funds data and research.
Three Essays In Financial Economics
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Author : Eung Jun Brandon Lee
language : en
Publisher:
Release Date : 2013
Three Essays In Financial Economics written by Eung Jun Brandon Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Chapter 1 studies endogenous medium term cycles in a Schumpterian growth model. New firms are created by imitating existing firms and they drive the least productive firms out of business. In this manner, firm entry speeds up the process of creative destruction, reallocating economic resources from less to more productive firms. Furthermore, the rate of firm entry and intensity of reallocation are procyclical in this model, and therefore transient business cycle shocks are propagated into persistent medium term swings in productivity. While the model generates substantial amount of medium term cycles, their magnitudes are not as large as those found in the data. This is due to an endogenous tension arising from business stealing effect of Schumpeterian models that weakens the basic transmission mechanisms in this model. Chapter 2 develops a model of explicit marketplace competition between firms. Firms compete through technological innovation; a firm with superior technology captures larger market share and earns higher profits than its rival. Arrow's replacement effect in this model implies that industry followers have more to gain from innovations than leaders, and consequently followers invest more heavily than leaders. Therefore, followers derive higher proportions of their firm values from present value of growth opportunities, and this implies that technological leaders and laggards are value and growth firms, respectively. A novel, central empirical prediction of the model is that when realized return on the value-minus-growth portfolio is positive, value firms decrease their investments relative to growth firms, and vice versa. This prediction holds for capital expenditures, but not for R&D expenses in the data. Chapter 3 (joint with Yichuan Liu) presents three sets of empirical results pertaining to cross-sectional patterns in stock returns associated with various accounting ratios such as return on assets, return on equity, gross and net profit margins, and turnover ratios of accounts receivable and payable. First, we show that recent changes in these accounting ratios, rather than their levels, are responsible for large returns spreads. Second, we document fundamental momentum; long-short portfolios formed by sorting on recent changes in these accounting ratios have significant alphas after controlling for Fama-French three-factor and Carhart four-factor models. Third, we examine the findings of Chordia and Shivakumar (2006) who conclude that the well-known price momentum effect is a manifestation of earnings momentum. We find, on the contrary, that price momentum is not fully explained nor subsumed by earnings momentum.
Big Data In Finance
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Author : Thomas Walker
language : en
Publisher: Springer Nature
Release Date : 2022-10-03
Big Data In Finance written by Thomas Walker and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-10-03 with Business & Economics categories.
This edited book explores the unique risks, opportunities, challenges, and societal implications associated with big data developments within the field of finance. While the general use of big data has been the subject of frequent discussions, this book will take a more focused look at big data applications in the financial sector. With contributions from researchers, practitioners, and entrepreneurs involved at the forefront of big data in finance, the book discusses technological and business-inspired breakthroughs in the field. The contributions offer technical insights into the different applications presented and highlight how these new developments may impact and contribute to the evolution of the financial sector. Additionally, the book presents several case studies that examine practical applications of big data in finance. In exploring the readiness of financial institutions to adapt to new developments in the big data/artificial intelligence space and assessing different implementation strategies and policy solutions, the book will be of interest to academics, practitioners, and regulators who work in this field.
Essays In Financial Economics
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Author : Olexandr Gorbenko
language : en
Publisher:
Release Date : 2010
Essays In Financial Economics written by Olexandr Gorbenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This thesis consists of three essays that apply game theory, theory and structural econometrics of auctions, and dynamic programming to study problems in two areas of corporate finance and market design: Dynamic theory of the firm and financial auctions. In the first essay (co-authored with Ilya A. Strebulaev), we investigate corporate financial policies in the presence of both temporary and permanent shocks to firms' cash flows. In our framework cash flows can be negative and are imperfectly correlated with firm value, and earnings volatility differs from asset volatility. These results are consistent with empirical stylized facts. They are also contrary to the implications of existing dynamic capital structure models that allow only for permanent shocks to cash flows. Temporary shocks increase the importance of financial flexibility and may provide an intuitively simple and realistic explanation of empirically observed financial conservatism and low leverage phenomena. The theoretical framework developed in this paper is general enough to be used in various corporate finance applications. In the second essay (co-authored with Andrey MalenkoSPAN class=skype_name_highlight_online title=amalenko height="12px" width="15px" SPAN class=skype_name_mark begin_of_the_skype_highlighting SPAN class=skype_name_mark end_of_the_skype_highlighting ), we study simultaneous security-bid second-price auctions with competition among sellers for potential bidders. The sellers compete by designing ordered sets of securities that the bidders can offer as payment for the assets. Upon observing auction designs, potential bidders decide which auctions to enter. We characterize all symmetric equilibria and show that there always exist equilibria in standard securities or their combinations. In large markets the unique equilibrium is auctions in pure cash. We extend the model for competition in reserve prices and show that binding reserve prices never constitute equilibrium as long as equilibrium security designs are not call options. To study how the market for takeovers operates, it is critical to understand how different potential acquirers shape their valuations, or maximum willingness to pay, for targets. In the third essay (co-authored with Andrey Malenko), we propose a structural model of a takeover auction that allows for asymmetries between strategic and financial bidders. Using a hand-collected data on the number of competing bidders, their types and bids, we estimate the model to recover valuations of participating strategic and financial bidders. Our approach helps overcome the sample selection problem that arises if takeover premia are simply interpreted as average bidder valuations. The results suggest that there are substantial differences between strategic and financial bidders along many dimensions. In particular, strategic and financial bidders value targets with different observable characteristics, and strategic bidders are considerably more heterogeneous than financial bidders. While average valuations of strategic bidders are higher than those of financial bidders, the higher takeover premiums that they pay are mainly driven by their greater heterogeneity. We extend the model to incorporate endogenous participation decisions, and show that strategic bidders appear to have considerably higher average participation costs than financial bidders, especially so if the target is highly valued by them or operates in a hi-tech industry.