Random matrix approach to estimation of high-dimensional factor models....
In dealing with high-dimensional data sets, factor models are often useful for dimension reduction. The estimation of factor models has been actively studied in various fields. In the first part of...
View ArticleRobust Trading of Implied Skew. (arXiv:1611.05518v1 [q-fin.PR])
In this paper, we present a method for constructing a (static) portfolio of co-maturing European options whose price sign is determined by the skewness level of the associated implied volatility. This...
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OneChicago Holiday Trading Hours
In observance of the upcoming holidays, OneChicago will follow the schedule below, which is consistent with U.S. equity markets.read more...
View ArticleUK's Financial Conduct Authority Finds Weak Price Competition In Some Areas...
The Financial Conduct Authority (FCA) has today published the interim findings of its asset management market study, which suggests that there is weak price competition in a number of areas of the...
View ArticleNasdaq: Big Wins For Gränges And Immunovia In The European Small &...
Nasdaq (Nasdaq: NDAQ) congratulates Gränges (short name: GRNG) and Immunovia (short name: IMMNOV) on being selected as International Star and Star of Innovation, respectively, in the European Small and...
View ArticleBank Of England Consultation On Restoring The Deposit Protection Limit To...
The Bank of England is consulting on plans to restore the limit of protection provided by the Financial Services Compensation Scheme (FSCS) to deposits with firms authorised by the Prudential...
View ArticleEris And R.J. O'Brien Fixed Income Group Release Second Hedge Accounting...
Eris Exchange (Eris) and an institutional fixed income brokerage group at R.J. O'Brien & Associates(RJO), the nation's oldest and largest independent futures brokerage and clearing firm, today...
View ArticlePrepayment Risk and Expected MBS Returns -- by Peter Diep, Andrea L....
We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. We measure prepayment risk and estimate security risk loadings using real data on...
View ArticleFirms and Labor Market Inequality: Evidence and Some Theory -- by David Card,...
We survey two growing bodies of research on firm-level drivers of labor market inequality. The first examines how wages are affected by differences in employer productivity. Studies that focus on...
View ArticleTrade Liberalization and Mortality: Evidence from U.S. Counties -- by Justin...
We investigate the impact of a large economic shock on mortality. We find that counties more exposed to a plausibly exogenous trade liberalization exhibit higher rates of suicide and related causes of...
View ArticleExtending Industry Specialization through Cross-Border Acquisitions -- by...
We investigate the role of industry specialization in horizontal cross-border mergers and acquisitions. We find that acquirers from more specialized industries in a country are more likely to buy...
View ArticleTake the Short Route: Equilibrium Default and Debt Maturity -- by Mark...
We study the interactions between sovereign debt default and maturity choice in a setting with limited commitment for repayment as well as future debt issuances. Our main finding is that under a wide...
View ArticleThe Impact of Consumer Credit Access on Employment, Earnings and...
How does consumer credit access impact job flows, earnings, and entrepreneurship? To answer this question, we build a new administrative dataset which links individual employment and entrepreneur tax...
View ArticleDoes The Samaritan's Dilemma Matter? Evidence From U.S. Agriculture -- by...
The Samaritan's dilemma posits a downside to charity: recipients may rely on free aid instead of their own efforts. Anecdotally, the expectation of free assistance is thought to be important for...
View ArticlePegxit Pressure: Evidence from the Classical Gold Standard -- by Kris James...
We develop a simple model that highlights the costs and benefits of fixed exchange rates as they relate to trade, and show that negative export-price shocks reduce fiscal revenue and increase the...
View ArticleAn Analysis of the Labor Market for Uber's Driver-Partners in the United...
Uber, the ride-sharing company launched in 2010, has grown at an exponential rate. This paper provides the first comprehensive analysis of the labor market for Uber's driver-partners, based on both...
View ArticleMultilateral Trade Bargaining and Dominant Strategies -- by Kyle Bagwell,...
Motivated by GATT bargaining behavior and renegotiation rules, we construct a three-country, two-good general-equilibrium model of trade and examine multilateral tariff bargaining under the constraints...
View ArticleShifting College Majors in Response to Advanced Placement Exam Scores -- by...
Mapping continuous raw scores from millions of Advanced Placement examinations onto the 1 to 5 integer scoring scale, we apply a regression discontinuity design to understand how students' choice of...
View ArticleThe Impact of Emerging Market Competition on Innovation and Business Strategy...
How do firms in high-income countries adjust to emerging market competition? We estimate how a representative panel of Canadian firms adjusts innovation activities, business strategies, and exit in...
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