We introduce astochastic optimization based decision support system (DSS) for asset-liability management of a life insurance firm using a multi-stage, stochastic optimization model. The DSS is based on a multi-stage stochastic linear program (SLP) with recourse for strategic planning. The model...

For five leading emerging economies: China, India, Russia, Indonesia, and South Korea, we show that existing sentiment variables both direct (Consumer Confidence Index) and indirect (Baker-Wurgler Index) – are insignificant in explaining respective nations' index returns. We further show that...

We quantify the sentiment from central bank speeches of five leading developed nations (US, UK, Japan, France, and Germany) and analyze their role in explaining the return of stock market indices for the respective nations. In this study we improve upon existing sentiment quantification...

In automobile insurance, among other general insurance policies, it is quite common to reduce the premium by a factor in case the insured does not make any claim in a given period. This is popularly known as NCD or no-claim-discount. Equally popular is the practice of increasing (known as...

We quantify the tone from the speeches of the ECB as well as that from the national central banks of six leading European nations, and analyze its role in explaining the returns of their respective stock market indices. Using innovations in financial text analysis introduced in Anand et al....

We propose a new measure of investor disagreement based on thirty-nine factors from the return-predicting anomaly literature. Consistent with theoretical work on volume, we show that a one standard deviation change in anomaly-based disagreement is associated with a 16.7% higher turnover in the...