We define and construct 'integration' for a large sample of 2287 US banks-measured by their level of exposure to common factors-during the period 1993-2019. Integration among US banks shows a steady increase and displays significantly high peaks during episodes of market distress such as the...

We define and measure integration among a sample of 357 US banks over 25 years from 1993 to 2017 and show that the median US bank's integration has increased significantly post-2005. During the great recession and the Eurozone crisis, integration levels among US banks display a significant rise...

Abstract Objectives In recent times, researchers have used Susceptible-Infected-Susceptible (SIS) model to understand the spread of the COVID-19 pandemic. The SIS model has two compartments, susceptible and infected. In this model, the interest is to determine the number of infected cases at a...

The measurement of financial risk relies on two factors: determination of riskiness by use of an appropriate risk measure; and the distribution according to which returns are governed. Wrong estimates of either, severely compromise the accuracy of computed risk. We identify the too-big-to-fail...

We reinvestigate the classic portfolio optimization problem where the notion of portfolio risk is captured by the “Foster-Hart risk” — a new, bankruptcy-proof, reserve based measure of risk, extremely sensitive to left tail events (Foster and Hart, 2009). To include financial market...

Influencer marketing is a practice where an advertiser pays a popular social media user (influencer) in exchange for brand endorsement. We develop an analytical model in a contract-theoretic setting between an advertiser and an influencer who can inflate her publicly displayed follower count by...

By January 2021, the stock of GameStop (GME) was heavily shorted by institutional investors but an unprecedented retail campaign for pushing-up its stock price culminated in a short squeeze by the end of January 2021. Adapting recent innovations in text analysis in finance and on microblogging...