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 construct two examples of shareholder networks in which shareholders are connected if they have shares in the same company. We do this for the shareholders in Turkish companies and we compare this against the network formed from the shareholdings in Dutch companies. We analyse the properties of these two networks in…
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they are willing to pay for i…
It is a common belief that the behavior of shareholders depends upon the direction of price fluctuations: if prices increase they buy, if prices decrease they sell. That belief, however, is more based on ``common sense'' than on facts. In this paper we present evidence for a specific class of shareholders which shows t…
This paper investigates the effect of cross-shareholding on stock price synchronicity, as a measure of price informativeness, of the listed firms in the Chinese stock market. We gauge firms' levels of cross-shareholdings in terms of centrality in the cross-shareholding network. It is confirmed that it is through a nois…
In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to ad…
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend poli…
The study examines stock splits and their effects on companies, managers, and shareholders.
The paper optimizes dividend strategies for companies with assets and liabilities under solvency constraints.
A firm with heterogeneous shareholders optimizes dividends under ambiguity aggregation.
We propose a network description of large market investments, where both stocks and shareholders are represented as vertices connected by weighted links corresponding to shareholdings. In this framework, the in-degree () and the sum of incoming link weights () of an investor correspond to the number of asset…
A new XVA strategy rooted in balance sheet perspective improves equity process for bank shareholders.
Study shows social media impacts shareholder returns on ESG risks.
We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland \cite{Leland94} and Leland and Toft \cite{Leland96}. Differently from the standard case, where shareholders observe continuously the asset value and bankruptcy is executed instantaneously without delay, we assume that the …
Activists align with large fund preferences for success.
In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies. This is a time inconsistent control problem. The extended HJB equation is given an…
In this paper, we consider a dynamic asset pricing model in an approximate fractional economy to address empirical regularities related to both investor protection and past information. Our newly developed model features not only in terms with a controlling shareholder who diverts a fraction of the output, but also goo…
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…
In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model including the classical risk model and the Polya-Aeppli risk model as sp…
Fair market valuations ignore future worker profits in employee-owned firms.
Model predicts activist fund targets with 78.2% accuracy.
This study uses Tsallis entropy to analyze diversification and integration in Italian stock market companies.
Paper predicts stock market values using machine learning.
Income tax systems with pass-through entities transfer a firm's incomes to the shareholders, which are taxed individually. In 2014, a Chilean tax reform introduced this type of entity and changed to an accrual basis that distributes incomes (but not losses) to shareholders. A crucial step for the Chilean taxation autho…
The paper models insurance market dynamics under uncertainty and financial frictions.
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured…
We present a methodology to extract the backbone of complex networks based on the weight and direction of links, as well as on nontopological properties of nodes. We show how the methodology can be applied in general to networks in which mass or energy is flowing along the links. In particular, the procedure enables us…
Optimizes bank capital structure under Basel III constraints, simplifying complex dynamics.
We consider a risk model where deficits after ruin are covered by a new type of reinsurance contract that provides capital injections. To allow the insurance company's survival after ruin, the reinsurer injects capital only at ruin times caused by jumps larger than a chosen retention level. Otherwise capital must be ra…
Research shows higher damages may encourage more disclosure in corporate disputes.
Optimal dividend strategy with irreversible reinsurance constraints.
The article improves the display of acceptable exchange ratios for merging companies.
In this paper, we study the determinants of expected returns on the listed penny stocks from two perspectives. Traditionally financial economics literature has been devoted to study the macro and micro determinants of expected returns on stocks (Subrahmanyam, 2010). Very few research has been carried out on penny stock…
Considered an important macroeconomic indicator, the Purchasing Managers' Index (PMI) on Manufacturing generally assumes that PMI announcements will produce an impact on stock markets. International experience suggests that stock markets react to negative PMI news. In this research, we empirically investigate the stock…
Optimal dividends for insurers with climate tipping point consideration.
Margin trading and short selling boost green tech innovation in China.
The paper examines how CoCo bonds can enhance financial stability in interconnected banking systems.
This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments and has choices to choose various production/business policies from an available set of control policies with different expected profits and…
Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk neutral measure, and implies profits and losses. Furthermore the rate of return on cap…
The paper examines how insurers manage risks and liquidity in a dynamic market.
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this theme and discusses the concentration of a market. A cross-shareholding matrix is co…
In this work, we consider Corporate Governance (CG) ties among companies from a multiple network perspective. Such a structure naturally arises from the close interrelation between the Shareholding Network (SH) and the Board of Directors network (BD). In order to capture the simultaneous effects of both networks on CG,…
Study optimal dividend strategies for insurers with natural catastrophe claims.
The paper analyzes game theory in convertible contracts during liquidity events.
Be it for taking advantage of stock undervaluation or in order to distribute part of their profits to shareholders, firms may buy back their own shares. One of the way they proceed is by including Accelerated Share Repurchases (ASR) as part of their repurchase programs. In this article, we study the pricing and optimal…
The study predicts bankruptcy in Indian companies using financial ratios.
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the profit requirement that is asked to the trading desk. In the following we try to deli…
AI analyzes corporate ESG filings to identify key dimensions and investor reactions.