arXiv · arXiv q-fin · 2020
Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing; these theories are inaccurate and can adversely affect risk management and portfolio management processes. This article introduces several empirically testable financial theories that …
Michael Nwogugu
arXiv · arXiv q-fin · 2026
We demonstrate that machine learning methods provide a powerful framework for modelling conditional asymmetric risk. Using a large cross-section of US stocks and a comprehensive set of firm characteristics, we show that allowing for nonlinearities significantly increases the out-of-sample performance across a wide range of asymmetric beta measures and forecasting horizons. Trading frictions, followed by characteristi…
Thomas Conlon, John Cotter, Iason Kynigakis
arXiv · arXiv q-fin · 2014
This paper is the first attempt to formalize a new field of economics; studding the Intangibles Goods available on the Internet. We are taking advantage of the digital world's specific rules, in particular the zero marginal cost, to propose a theory of trading & sharing unified. A function based money is created as a world-wide currency; "cup". We argue that our system discourage speculation activities while it makes…
Laurent Fournier
arXiv · arXiv q-fin · 2025
Using an intangible intensity factor that is orthogonal to the Fama--French factors, we compare the role of intangible investment in predicting stock returns over the periods 1963--1992 and 1993--2022. For 1963--1992, intangible investment is weak in predicting stock returns, but for 1993--2022, the predictive power of intangible investment becomes very strong. Intangible investment has a significant impact not only …
Lin Li
arXiv · arXiv q-fin · 2024
We create a firm-level ChatGPT investment score, based on conference calls, that measures managers' anticipated changes in capital expenditures. We validate the score with interpretable textual content and its strong correlation with CFO survey responses. The investment score predicts future capital expenditure for up to nine quarters, controlling for Tobin's $q$ and other determinants, implying the investment score …
Manish Jha, Jialin Qian, Michael Weber, Baozhong Yang
arXiv · arXiv q-fin · 2021
Novel blockchain technology provides the infrastructure layer for the creation of decentralized appli-cations. A rapidly growing ecosystem of applications is built around financial services, commonly referred to as decentralized finance. Whereas the intangible concept of decentralization is presented as a key driver for the applications, defining and measuring decentralization is multifaceted. This pa-per provides a …
Johannes Rude Jensen, Victor von Wachter, Omri Ross
arXiv · arXiv q-fin · 2020
A perspective is taken on the intangible complexity of economic and social systems by investigating the underlying dynamical processes that produce, store and transmit information in financial time series in terms of the \textit{moving average cluster entropy}. An extensive analysis has evidenced market and horizon dependence of the \textit{moving average cluster entropy} in real world financial assets. The origin of…
Pietro Murialdo, Linda Ponta, Anna Carbone
arXiv · arXiv q-fin · 2020
This paper analyzes the connection between innovation activities of companies -- implemented before a financial crisis -- and their performance -- measured after such a time of crisis. Pertinent data about companies listed in the STAR Market Segment of the Italian Stock Exchange is analyzed. Innovation is measured through the level of investments in total tangible and intangible fixed assets in 2006-2007, while perfo…
Marcel Ausloos, Francesca Bartolacci, Nicola G. Castellano, Roy Cerqueti
arXiv · arXiv q-fin · 2020
EBIs/ESOs substantially change the traditional production/service function because ESOs/EBIs can have different psychological effects(motivation or de-motivation), and can create intangible capital and different economic payoffs. Although Game Theory is flawed, it can be helpful in describing interactions in ESO/EBIs transactions. ESOs/EBIs involve two-stage games and there are no perfect Nash Equilibria for the two …
Michael C. Nwogugu
arXiv · arXiv q-fin · 2018
This paper analyzes the connection between innovation activities of companies -- implemented before crisis -- and their performance -- measured at time of crisis. The companies listed in the STAR Market Segment of the Italian Stock Exchange are analyzed. Innovation is measured through the level of investments in total tangible and intangible fixed assets in 2006-2007, while performance is captured through growth -- e…
Marcel Ausloos, Francesca Bartolacci, Nicola G. Castellano, Roy Cerqueti
arXiv · arXiv q-fin · 2018
The growth of the modern knowledge-based economy is becoming less and less dependent on tangible assets and more on intangible ones. In this context, the role of human capital in the value creation process has become central. Despite the large amount of scientific work on human capital phenomena, little research has revealed the role of human capital in the process of creating value. The purpose of this article is to…
Youssef Ifleh, Mohamed Lotfi, Mounime Elkabbouri
arXiv · arXiv q-fin · 2009
This paper advances theory on the process of collaboration between entities and its implications on the quality of services, information, and/or products (SIPs) that the collaborating entities provide to each other. It investigates the scenario of outsourced IS projects (such as custom software development) where the extent of collaboration between a client and vendor is high. Using the social exchange theory, the pr…
Subrata Chakrabarty