A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study how firm liquidation regimes affect shareholder value and stability.
We introduce a model in which a regulator employs mechanism design to embed her human capital beta signal(s) in a firm's capital structure, in order to enhance the value of her post career change indexed executive stock option contract with the firm. We prove that the agency cost of this revolving door behavior increas…
We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of the firm. We consider the problem for pricing of corporate defaultable bond in the case when the firm value is only declared in some fixed discrete time a…
I study the behavior and the performance of the long-term forecasts issued by financial analysts with respect to the Extrapolation Hypothesis. That hypothesis states that investors, extrapolating from the firms' recent performances, are too optimistic about growth and large firms and too pessimistic about value and sma…
The basic financial purpose of corporation is creation of its value. Liquidity management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. These boo…
Co-branding improves stock performance for firms.
We consider that the price of a firm follows a non linear stochastic delay differential equation. We also assume that any claim value whose value depends on firm value and time follows a non linear stochastic delay differential equation. Using self-financed strategy and replication we are able to derive a Random Partia…
Based on the work of Suzuki (2002), we consider a generalization of Merton's asset valuation approach (Merton, 1974) in which two firms are linked by cross-ownership of equity and liabilities. Suzuki's results then provide no arbitrage prices of firm values, which are derivatives of exogenous asset values. In contrast …
Study finds carbon emissions affect stock value, but not bought emissions.
We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor-the debt-to-asset ratio R-in order to study the stability of the Zipf distribution of R over time. We find that the Zipf exponent increases during market …
Statistical mechanics explains income and wealth distribution in developed economies.
By employing exhaustive lists of large firms in European countries, we show that the upper-tail of the distribution of firm size can be fitted with a power-law (Pareto-Zipf law), and that in this region the growth rate of each firm is independent of the firm's size (Gibrat's law of proportionate effect). We also find t…
A new model calculates LGD distribution based on firm value and credit market conditions.
We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is triggered when the value of the firm's asset falls below a constant threshold is extended by relaxing the assumption of…
The paper studies efficient simulation methods for financial firm values under fast mean-reverting volatility.
Study finds dividend payout policy positively impacts firm profitability.
The regulator is interested in proposing a capital adequacy test by specifying an acceptance set for firms' capital positions at the end of a given period. This set needs to be surplus-invariant, i.e., not to depend on the surplus of firms' shareholders, because the test means to protect firms' liability holders. We pr…
Heterogeneity of economic agents is emphasized in a new trend of macroeconomics. Accordingly the new emerging discipline requires one to replace the production function, one of key ideas in the conventional economics, by an alternative which can take an explicit account of distribution of firms' production activities. …
We consider an impulse control problem in infinite horizon applied with switching technology. We suppose that the firm decides at certain moments (impulse moments) to switch technology, leading to a jump of the firm value. We show that the value function for such problems satisfies a dynamic programming principle versi…
Study quantifies firm risks from nature decline, showing significant equity losses.
The basic financial purpose of an enterprise is maximization of its value. Trade credit management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. …
Paper proposes a new method to assess default risk using CEV process in KMV model.
In this paper, a geometric function is introduced to reflect the attenuation speed of impact of one firm's default to its partner. If two firms are competitions (copartners), the default intensity of one firm will decrease (increase) abruptly when the other firm defaults. As time goes on, the impact will decrease gradu…
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected lifetime utility from consumption of risk averse equity investors. We give a comple…
We introduce a new model for pricing corporate bonds, which is a modification of the classical model of Merton. In this new model, we drop the liquidity assumption of the firm's asset value process, and assume that there is a liquidly traded asset in the market whose value is correlated with the firm's asset value, and…
Following the approach of standard filtering theory, we analyse investor-valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents. Tasked with disclosing forecast values, agents are able purposefully to withhold the…
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation. Moreover, we give regularity properties of the value functi…
In this paper we present a novel approach for firm default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula constructions. For each considered firm, balance sheet data are used to assess the asset value, and to compute its default probability. The asset pricing …
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the firm's value is a non-observable stochastic process and inver…
A dynamic model of the social relations between workers and capitalists is introduced. The model is deduced from the assumption that the law of value is an organising principle of modern economies. The model self-organises into a dynamic equilibrium with statistical properties that are in close qualitative and in many …
This study assesses how share capital affects financial growth of non-financial firms listed at NSE.
Study shows long-term debt impacts financial growth of non-financial firms listed at Nairobi Securities Exchange.
Study assesses short-term debt's impact on non-financial firms' financial growth.
In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market participants includes the default time of each firm and the periodic asset value…
In this work, I generalize Merton's approach of pricing risky debt to the case where the interest rate risk is modeled by the CIR term structure. Closed form result for pricing the debt is given for the case where the firm value has non-zero correlation with the interest rate. This extends previous closed form pricing …
New framework for interpretable firm characteristics factors.
Membership in the Russell 1000 and 2000 Indices is based on a ranking of market capitalization in May. Each index is separately value weighted such that firms just inside the Russell 2000 are comparable in size to firms just outside (i.e. at the bottom of the Russell 1000) but have much higher index weights. These feat…
New method quantifies systemic risk of firms in supply networks.
This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "risk view", whereby investing in high quality firms is somehow riskier, so that the higher returns of a quality portfolio are a compensation …
This paper reviews digital transformation research from 2011-2024, focusing on corporate finance.
The paper explains how to predict returns based on firm characteristics.
This study uses TDA to map corporate failure, revealing distinct regions of risk.
This study finds ESG rating disagreement reduces corporate productivity, especially in certain types of firms.
Investor emotions predict earnings announcements, but excitement lowers returns.
In this paper we analyze an extension of the Jeanblanc and Valchev (2005) model by considering a short-term uncertainty model with two noises. It is a combination of the ideas of Duffie and Lando (2001) and Jeanblanc and Valchev (2005): share quotations of the firm are available at the financial market, and these can b…
Study examines the impact of employment benefit costs on firm profitability.
Study shows how firms adapt to systemic risk during crises, revealing key players and trade volume predictors.
This study simulates the evolution of artificial economies in order to understand the tax relevance of administrative boundaries in the quality of life of its citizens. The modeling involves the construction of a computational algorithm, which includes citizens, bounded into families; firms and governments; all of them…