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Corporate diversification and the cost of debt: evidence from REIT bank loans and mortgages
(Springer, 2020-11)
This paper investigates whether corporate diversification by property type and by geography reduces the costs of debt capital. It employs asset-level information on the portfolios of U.S. REITs to measure diversification ...
Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework
(IOS Press, 2020)
Pairs trading is a widespread market-neutral trading strategy aiming to utilize the relationship between pairs of financial instruments in efficient markets, where predictability of separate asset movements is theoretically ...
A prudential paradox: The signal in (not) restricting bank dividends
(Wiley, 2022)
By restricting dividends in the weakest banks, prudential regulators counterintuitively induce more capital payouts in marginal banks. The potential for bank runs exacerbates the incentive to signal strength through dividend ...
An explainable credit scoring framework: A use case of addressing challenges in applied machine learning
(IEEE, 2022)
While Machine Learning (ML) classification algorithms can accurately classify a borrower's credit risk, the determinants of the credit score cannot be interpreted clearly by customers, decision makers and auditors. The ...
Trading ambiguity: A tale of two heterogeneities
(Wiley, 2023)
We consider markets with heterogeneously ambiguous assets and heterogeneously ambiguity-averse investors whose preferences are a parsimonious extension of the mean–variance framework. We study portfolio choice and trade ...
Anticipating the financial crisis: evidence from insider trading in banks
(Oxford University Press, 2020-04)
Banking crises are recurrent phenomena, often induced by excessive bank risk-taking, which may be due to behavioural reasons (over-optimistic banks neglecting risks) and to conflicts of interest between bank shareholders/managers ...
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