Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Banks' credit scoring models are required by financial authorities to be explainable. This paper proposes an explainable artificial intelligence (XAI) model for predicting credit default on a unique dataset of unsecured consumer loans provided by a Norwegian bank. We combined a LightGBM model...

Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more informative price interval data and building interval regression models for volatility forecasting. To characterize the heterogeneity of the market and the nonlinearity of...

We provide a fresh look at the performance of the stock prices of firms that launched an IPO between 2009 and 2019 and assess the role of their size, age and sector in affecting future performance. We utilize data about 1611 IPOs spanning 11 economic sectors using the event study method. We...

Purpose: A major challenge traders, speculators and investors are grappling with is how to accurately forecast Bitcoin price in the cryptocurrency market, This study is aimed to uncover the best model for the forecasts of Bitcoin price as well as to verify the price series that offers the best...

Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...

We examine if extreme weather exposure impacts firms' cost of equity. Motivated by a consumption-based asset pricing model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock returns. In the period from 1995 to 2019, domestic U.S....

Modern sovereign money is accepted as an institution in virtue of the collective intentionality of the acceptance of the sovereign status function declaration it being the official currency of a country. A status function declaration may not create money it may only create a currency. How does...

We introduce an empirical approach to studying credit risk in the corporate loan portfolio. First, historical adverse scenarios for loss rates are identified at sector level. Second, we estimate the empirical association between loan losses and economic growth and then apply it to a scenario of...

This paper proposes a composite indicator of financial conditions for Germany. The composite indicator distills information from large amounts of data covering different segments of the German financial system into a summary measure of financial conditions. This measure is constructed from 70...