Dead Alphas as Risk Factors. (arXiv:1709.06641v1 [q-fin.PM])
We give an explicit algorithm and source code for extracting equity risk factors from dead (a.k.a. "flatlined" or "hockey-stick") alphas and using them to improve performance characteristics of good...
View ArticleDo Big Things: The Simple Steps Teams Can Take to Mobilize Hearts and Minds,...
An inspiring, practical and progress-oriented blueprint for energetic achievement.read more...
View ArticleThe Strategic Storyteller: Content Marketing in the Age of the Educated Consumer
The world needs more storytellers.read more...
View ArticleWealth Management Unwrapped, Revised and Expanded: Unwrap What You Need to...
Wealth Management Unwrapped provides you with the tools and tips you need to take back control and more effectively manage your money. Wall Street veteran Charlotte Beyer conducts a tour of the wealth...
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Classification of the Bounds on the Probability of Ruin for L{\'e}vy...
In this note, we study the ultimate ruin probabilities of a real-valued L{\'e}vy process X with light-tailed negative jumps. It is well-known that, for such L{\'e}vy processes, the probability of ruin...
View ArticleA Structural Model for Fluctuations in Financial Markets. (arXiv:1709.10277v1...
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting...
View ArticleExecutive stock option exercise with full and partial information on a drift...
We analyse the valuation and exercise of an American executive call option written on a stock whose drift parameter falls to a lower value at a change point given by an exponential random time,...
View ArticlePareto Efficient Taxation and Expenditures: Pre- and Re-distribution -- by...
This paper shows that there is a presumption that Pareto efficient taxation entails a positive tax on capital. When tax and expenditure policies can affect the market distribution of income, those...
View ArticleParalyzed by Panic: Measuring the Effect of School Closures during the 1916...
We leverage the 1916 polio pandemic in the United States as a natural experiment to test whether short-term school closures result in reduced educational attainment as an adult. With over 23,000 cases...
View ArticleBusy Directors: Strategic Interaction and Monitoring Synergies -- by...
We derive conditions for when having a "busy" director on the board is harmful to shareholders and when it is beneficial. Our model allows directors to condition their monitoring choices on their...
View ArticleThe End of Free College in England: Implications for Quality, Enrolments, and...
Despite increasing financial pressures on higher education systems throughout the world, many governments remain resolutely opposed to the introduction of tuition fees, and some countries and states...
View ArticleOptimal Regulation with Exemptions -- by Louis Kaplow
Despite decades of research on mechanism design and on many practical aspects of cost-benefit analysis, one of the most basic and ubiquitous features of regulation as actually implemented throughout...
View ArticlePredicting Relative Returns -- by Valentin Haddad, Serhiy Kozak, Shrihari...
Across a variety of asset classes, we show that relative returns are highly predictable in the time series in and out of sample, much more so than aggregate returns. For Treasuries, slope is more...
View ArticleThe Employment Effects of Mexican Repatriations: Evidence from the 1930's --...
During the period 1929-34 a campaign forcing the repatriation of Mexicans and Mexican Americans was carried out in the U.S. by states and local authorities. The claim of politicians at the time was...
View ArticleDirected Search: A Guided Tour -- by Randall Wright, Philipp Kircher, Benoit...
This essay surveys the literature on directed/competitive search, covering theory and applications in, e.g., labor, housing and monetary economics. These models share features with traditional search...
View ArticleA Tough Act to Follow: Contrast Effects In Financial Markets -- by Samuel M....
A contrast effect occurs when the value of a previously-observed signal inversely biases perception of the next signal. We present the first evidence that contrast effects can distort prices in...
View ArticleThe Distribution of Environmental Damages -- by Solomon Hsiang, Paulina...
Most regulations designed to reduce environmental externalities impose costs on individuals and firms. An active body of research has explored how these costs are disproportionately born by different...
View ArticleDemystifying the Destination-Based Cash-Flow Tax -- by Alan J. Auerbach
This paper describes the Destination-Based Cash-Flow Tax (DBCFT), as proposed in 2016 by Republicans in the US House of Representatives, and its potential economic effects. As a new approach and a...
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