Annual Conference

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Investment Finance

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May 2023

The phenomenal rise of cryptocurrencies and decentralized finance have prominently featured “staking”: Besides offering a convenience yield for transactions as digital media of exchange, tokens are frequently staked (and slashed) for base-layer consensus generation or for incentivizing economic ...
Keywords: Blockchain, DeFi, Proof-of-Stake, Yield Farming, Tokenomics
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Annual Conference

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Investment Finance

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May 2023

We show that ongoing zero portfolio weights in cryptocurrency are surprisingly difficult to generate in a standard Bayesian portfolio theory framework. With ten years of prior data, equity market investors would need very pessimistic priors on mean returns to justify never having bought cryptocurren...
Keywords: Cryptocurrency, Bitcoin, Bayesian Portfolio Theory, Investments, Market Participation
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Annual Conference

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Investment Finance

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May 2023

We apply machine learning techniques to predict international stock returns using firm characteristics. Market-specific features are important, as neural network models (NNs) achieve stronger results when they are trained in each market separately than in a global model trained with U.S. data. NNs o...
Keywords: International Asset Pricing, Cross-section of Stock Returns, Market Integration, Neural Networks, Regression Trees
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Annual Conference

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Investment Finance

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May 2023

We find that option expensiveness, as measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the option market to hedge ESG-related uncertainty. We estimate this ESG premium to be about 0.3% per month. All three components of ESG contribute ...
Keywords: ESG, risk premium, delta-hedged option return
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Annual Conference

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Corporate Finance

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May 2023

This paper investigates the consequences of bankruptcy reform on creditor protection and credit market development in China amidst rising credit market defaults. We find that the introduction of specialized bankruptcy courts, characterized by better-trained judges and reduced government interference...
Keywords: Bankruptcy Resolution, Creditor Protection, Cost of Debt, China’s Bond Market
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