We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

This study attempts to discover and analyze the predictive power of stock messages, posting on financial message boards, on future stock price directional movements. We construct a set of robust models based on sentiment analysis and data mining algorithms. Our dataset consist of 447,393...

In this paper, we evaluate the spatial location patterns of Spanish manufacturing firms and we assess the different tendencies to cluster in each industry relative to the whole of manufacturing. To do this, we use a distance-based method (Marcon and Puech, 2003; Duranton and Overman, 2005), more...

Increases in the federal funds rate aimed at stabilizing the economy have inevitably been followed by recessions. Recently, peaks in the federal funds rate have occurred 6-16 months before the start of recessions; reductions in interest rates apparently occurred too late to prevent those...

We present a new statistical method that detects industrial clusters at a firm level. The proposed method does not divide space into subunits whereby it is not affected by the Modifiable Areal Unit Problem (MAUP). Our metric differs both in its calculation and interpretation from existing...

Recently there has been some discussion in the literature concerning the nature of scale properties in the Data Envelopment Model (DEA). It has been argued that DEA may not be able to provide reliable estimates of the optimal scale size. We argue in this paper that DEA is well suited to estimate...

The variable returns to scale data envelopment analysis (DEA) model is developed with a maintained hypothesis of convexity in input-output space. This hypothesis is not consistent with standard microeconomic production theory that posits an S-shape for the production frontier, i.e. for...

This paper proposes a test for whether data are over-represented in a given production zone, i.e. a subset of a production possibility set which has been estimated using the non-parametric Data Envelopment Analysis (DEA) approach. A binomial test is used that relates the number of observations...

A five cent $0.05 investment in Bitcoin on July 17, 2010, the first date in which there appears to have been a published value had grown to $7,383.39 on July 18, 2018. While Bitcoin as a currency has existed for less than a decade ̶ it had a very limited liquidity and usage during the first few...