In this paper we introduce a new class of approaches to empirical asset pricing research, namely LASSO methods augmented by further penalties related to differences in adjacent coefficient estimates (at t and t+1) for a given characteristic. The economic motivation for this is that the...

Private equity (PE) funds are increasingly important to the economy and now dominate capital markets (e.g., capital formation). However, lack of understanding of PE funds among accounting academics currently prevents accounting research in this area. In this paper, we first describe the PE fund...

A large literature in finance indicates that real people are not fully rational decision makers who optimize using all available information, as is often assumed in traditional models. A variety of empirical approaches have been adopted to examine financial decision making, including...

The objective of this manuscript is to review the adverse influence of short-termism in investing on firm performance and corporate governance, and highlight the economic crisis engendered by the inefficient financial markets and advocate remedies to align the corporate governance practices...

Analytic models are developed to value farm real estate and a seller’s (buyer’s) real option to delay its sale (purchase). The model clearly shows the economic and financial fundamentals making up the capitalization rate for farmland, as well as the linkage between two asset classes: farm...

Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...

Existing studies generally document large price discounts for foreclosures and short sales, implying large inefficiencies in real estate markets. We consider an alternative approach that leverages the expertise and local market knowledge of residential real estate appraisers. Our approach deals...

Information coefficient (IC) is one of the most commonly used statistics in quantitative financial analysis that is usually defined as the correlation coefficient between a variable's predicted and actual values. In this paper, we derive the asymptotic distribution of the sample average...

This paper is a piece for contributing to the sustainable European stake in order to interlock financial systems with the objectives of the 2030 Agenda (the UN’s SDGs). It is intended to be used as a platform for discussion between risk management practitioners in the financial industry and...

In this paper the field-theoretical model of financial markets capturing the market self-action effect is methodically constructed. It is shown how the uncertainty of price is determined by the balance between market self-action and price dispersion. The resulting probability distribution...