Adams, RB, Kräussl, R, Navone, M & Verwijmeren, P 2021, 'Gendered Prices', The Review of Financial Studies, vol. 34, no. 8, pp. 3789-3839.
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Abstract We provide evidence that culture is a source of pricing bias. In a sample of 1.9 million auction transactions in 49 countries, paintings by female artists sell at an unconditional discount of 42.1%. The gender discount increases with measures of country-level gender inequality—even in artist fixed effects regressions. Our results are robust to accounting for potential gender differences in art characteristics and their liquidity. Evidence from two experiments supports the argument that women’s art may sell for less because it is made by women. However, the gender discount reduces over time as gender equality increases.
Alexeev, V, Ignatieva, K & Liyanage, T 2021, 'Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals', Studies in Nonlinear Dynamics & Econometrics, vol. 25, no. 2, pp. 1-20.
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Abstract This paper investigates dependence among insurance claims arising from different lines of business (LoBs). Using bivariate and multivariate portfolios of losses from different LoBs, we analyse the ability of various copulas in conjunction with skewed generalised hyperbolic (GH) marginals to capture the dependence structure between individual insurance risks forming an aggregate risk of the loss portfolio. The general form skewed GH distribution is shown to provide the best fit to univariate loss data. When modelling dependency between LoBs using one-parameter and mixture copula models, we favour models that are capable of generating upper tail dependence, that is, when several LoBs have a strong tendency to exhibit extreme losses simultaneously. We compare the selected models in their ability to quantify risks of multivariate portfolios. By performing an extensive investigation of the in- and out-of-sample Value-at-Risk (VaR) forecasts by analysing VaR exceptions (i.e. observations of realised portfolio value that are greater than the estimated VaR), we demonstrate that the selected models allow to reliably quantify portfolio risk. Our results provide valuable insights with regards to the nature of dependence and fulfils one of the primary objectives of the general insurance providers aiming at assessing total risk of an aggregate portfolio of losses when LoBs are correlated.
Almaskati, N, Bird, R, Yeung, D & Lu, Y 2021, 'A horse race of models and estimation methods for predicting bankruptcy', Advances in Accounting, vol. 52, pp. 100513-100513.
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Brogaard, J, Nguyen, TH, Putniņš, TJ & Wu, E 2021, 'What Moves Stock Prices? The Role of News, Noise, and Information'.
Carmody, J, Shringarpure, S & Van de Venter, G 2021, 'AI and privacy concerns: a smart meter case study', Journal of Information, Communication and Ethics in Society, vol. 19, no. 4, pp. 492-505.
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PurposeThe purpose of this paper is to demonstrate privacy concerns arising from the rapidly increasing advancements and use of artificial intelligence (AI) technology and the challenges of existing privacy regimes to ensure the on-going protection of an individual’s sensitive private information. The authors illustrate this through a case study of energy smart meters and suggest a novel combination of four solutions to strengthen privacy protection.Design/methodology/approachThe authors illustrate how, through smart meter obtained energy data, home energy providers can use AI to reveal private consumer information such as households’ electrical appliances, their time and frequency of usage, including number and model of appliance. The authors show how this data can further be combined with other data to infer sensitive personal information such as lifestyle and household income due to advances in AI technologies.FindingsThe authors highlight data protection and privacy concerns which are not immediately obvious to consumers due to the capabilities of advanced AI technology and its ability to extract sensitive personal information when applied to large overlapping granular data sets.Social implicationsThe authors question the adequacy of existing privacy legislation to protect sensitive inferred consumer data from AI-driven technology. To address this, the authors suggest alternative solutions.Originality/valueThe original value of this paper is that it illustrates new priva...
Clinet, S, Dunsmuir, WTM, Peters, GW & Richards, K-A 2021, 'Asymptotic distribution of the score test for detecting marks in hawkes processes', Statistical Inference for Stochastic Processes, vol. 24, no. 3, pp. 635-668.
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Cotton, D, Hambusch, G & Van de Venter, T 2021, 'Preaching to the Converted – Enrolment Bias in Finance Ethics Subjects', Journal of Financial Education, vol. Winter, pp. 77-97.
Dhawan, A & Putniņš, TJ 2021, 'A New Wolf in Town? Pump-and-Dump Manipulation in Cryptocurrency Markets'.
Easley, D, Michayluk, D, O'Hara, M & Putniņš, TJ 2021, 'The Active World of Passive Investing'.
Félez‐Viñas, E & Hagströmer, B 2021, 'Do volatility extensions improve the quality of closing call auctions?', Financial Review, vol. 56, no. 3, pp. 385-406.
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AbstractTo improve the efficiency of the closing price, many equity exchanges apply volatility extensions to their closing call auctions (CCAs). If an imminent auction execution implies a large price change, the order submission period is extended to let traders reconsider their orders. This paper uses the introduction of closing auction volatility extensions at NASDAQ Nordic to provide the first analysis of the effects of such mechanisms. We find that the volatility extensions reduce transitory volatility and deter price manipulation at the close. Consistent with increased trust in the mechanism, the CCA attracts higher volumes after the change.
Guo, H, Han, J & Wang, J 2021, 'Population mobility, urban centrality and subnetworks in China revealed by social sensing big data', Environment and Planning A: Economy and Space, vol. 53, no. 8, pp. 1855-1858.
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Studying the spatial pattern of population flows is important to gain insights into economic connections, city networks and traffic demand. The dearth of integrative data suggests that the spatial pattern of population migration has still received relatively scant research with modified algorithms despite its vital guidance in epidemic control. To address this gap, we employ unique social sensing data from the Tencent migration platform to investigate the spatial configuration of population migration in China. Based on the identified 2,555,596 aggregated origin-destination records in 2018, we map the spatial pattern of population flow with the algorithm of eigenvector centrality. The geovisualisation illustrates that population flows present an uneven spatial pattern with a clear east/west divide. The geovisualisation depicts that the cities with higher administrative levels show corresponding high centrality to a certain extent. The results also show that subnetworks of migration flow demonstrate that population flows are near movements.
Gurwitz, JA, Smith, DM & Van de Venter, G 2021, 'Municipal Bond Mutual Fund Performance and Active Share', The Journal of Investing, vol. 30, no. 4, pp. 23-35.
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Hambusch, G, Michayluk, D, Terhaar, K & Van de Venter, G 2021, 'Differences in Ethical Perceptions of Insider Trading', The Journal of Investing, vol. 30, no. 3, pp. 109-123.
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Lee, Y, Rösch, D & Scheule, H 2021, 'Systematic credit risk in securitised mortgage portfolios', Journal of Banking & Finance, vol. 122, pp. 105996-105996.
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Mwampashi, MM, Sklibosios Nikitopoulos, C, Konstandatos, O & Rai, A 2021, 'Large Scale and Rooftop Solar Generation in the NEM: A Tale of Two Renewables Strategies', Energy Economics, vol. 113, pp. 1-32.
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Mwampashi, MM, Sklibosios Nikitopoulos, C, Konstandatos, O & Rai, A 2021, 'Wind Generation and the Dynamics of Electricity Prices in Australia', SSRN Electronic Journal.
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Australia's National Electricity Market (NEM) is experiencing one of the world's fastest and marked transitions toward variable renewable energy generation. This transformation poses challenges to system security and reliability and has triggered increased variability and uncertainty in electricity prices. By employing an exponential generalized autoregressive conditional heteroskedasticity (eGARCH) model, we gauge the effects of wind power generation on the dynamics of electricity prices in the NEM. We find that a 1 GWh increase in wind generation decreases daily prices up to 1.3 AUD/MWh and typically increases price volatility up to 2%. Beyond consumption and gas prices, hydro generation also contributes to an increase in electricity prices and their volatility. The cross-border interconnectors play a significant role in determining price levels and volatility dynamics. This underscores the important role of strategic provisions and investment in the connectivity within the NEM to ensure the reliable and effective delivery of renewable energy generation. Regulatory interventions, such as the carbon pricing mechanism and nationwide lockdown restrictions due to COVID-19 pandemic, also had a measurable impact on electricity price dynamics.
Sklibosios Nikitopoulos, C, Thomas, A & Wang, J-X 2021, 'The Economic Impact of Volatility Persistence on Energy Markets', Journal of Commodity Markets, vol. 30, pp. 1-24.
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This study examines the role of daily volatility persistence in transmitting information from macro-economy in the volatility of energy markets. In crude oil and natural gas markets, macro-economic factors, such as the VIX, the credit spread and the Baltic exchange dirty index, impact volatility, and this impact is channeled via the volatility persistence. Further, the impact of returns and variances is primarily transmitted to volatility via the daily volatility persistence. The dependence of volatility persistence on market and macro-economic conditions is termed conditional volatility persistence (CVP). The variation in daily CVP is economically significant, contributing up to 18% of future volatility and accounting for 29% of the model's explanatory power. Inclusion of the CVP in the model significantly improves volatility forecasts. Based on the utility benefits of volatility forecasts, the CVP adjusted volatility models provide up to 160 bps benefit to investors compared to the HAR models, even after accounting for transaction costs and varying trading speeds.
Walker, S 2021, 'Post-split underreaction: The importance of prior split history', International Review of Financial Analysis, vol. 78, pp. 101945-101945.
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Wang, J, Chai, Y, Shao, Y & Qian, X 2021, 'Techno-economic Assessment of Biogas Project: a Longitudinal Case Study from Japan', Resources, Conservation and Recycling, vol. 164, pp. 105174-105174.
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The development of biomass for energy production is largely encouraged on a large scale in local cities and developing nations, in addition to traditional domestic utilization. As a matter of fact, many biomass projects still operate, while experiencing low efficiency and operation challenges. This longitudinal study investigates the operation performance of a specific biogas project from Japan, with a focus on benefit and cost analysis. It is concluded that the financial imbalance of project operation in Hita, Japan stems from the narrow revenues and high expenditures. Apart from revenues from electricity generation and disposal fees, few revenues come from sales of industrial waste. Meanwhile, the depreciation of equipment presents a rising cost, which accounts for the large share of running costs. Moreover, scenario analysis indicated that the aging issue put the highest burden onto the project. Changing the feedstock of biomass wastes, promoting the consumption of fertilizer byproducts, and integrated waste management could be effective from a technical perspective, while flexible institutional and management adjustment could contribute to further improvement. The optimal scenario concluded with an internal rate of return of 1.31% and a simple payback period of 26.9 years. The profound investigation on a specific project helps scrutinize the potential drawbacks and challenges during operation.
Wang, J, Wang, L & Qian, X 2021, 'Revisiting firm innovation and environmental performance: New evidence from Japanese firm-level data', Journal of Cleaner Production, vol. 281, pp. 124446-124446.
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There is uncertainty in recent research regarding the relationship between business innovation and environmental performance. Employing matched panel data for 589 publicly listed companies from 2006 to 2014, this study investigated the relationship between innovation and CO2 emission reduction for companies in Japan. The mechanisms driving emissions reduction were also explored using multiple regression models. Results showed that investment in innovation increased labor productivity which in turn reduced energy intensity and carbon emission reductions. A heterogeneous analysis showed that the impact of research and development investment was the most pronounced for well-established businesses. Furthermore, the manufacturing sector was found to enjoy more environmental benefits from innovation due to its high energy intensity. Findings of this study highlight the importance of investment in innovation for its environmental and sustainability benefits.
Casavecchia, L, Ge, C, Li, W & Tiwari, A 1970, 'Prime Time for Prime Funds: Floating NAV, Intraday Redemptions and Liquidity Risk During Crises', Eighth Annual Conference on Financial Market Regulation, Virtual.
Casavecchia, L, Ge, C, Li, W & Tiwari, A 1970, 'Prime Time for Prime Funds: Floating NAV, Intraday Redemptions and Liquidity Risk during Crises', American Finance Association Annual Meeting, Virtual.
Chhaochharia, V, Sen, R & Xu, J 1970, 'Regulation-induced CSR', CMI Field Workshop on Firm Finance, Online.
Chhaochharia, V, Sen, R & Xu, J 1970, 'Regulation-induced CSR', 12th Emerging Markets Conference, Mumbai, India.
Collender, S, Nikitopoulos Sklibosios, C, Richards, K-A & Ryan, L 1970, 'Climate Change Transition Risk on Sovereign Bond Yield Spreads', Environmental Social & Governance for Sustainability Conference 2021, Melbourne, Australia.
Dyhrberg, A, Felez Vinas, E, Foley, S & Putnins, T 1970, 'How should we ring the closing bell? Determining optimal closing auction design', 2021 FIRN Annual Conference, Online.
Dyhrberg, A, Felez Vinas, E, Foley, S & Putnins, T 1970, 'How should we ring the closing bell? Determining optimal closing auction design', 2021 FMA European Conference, Online.
Mwampashi, MM, Nikitopoulos, CS, Konstandatos, O & Rai, A 1970, 'Wind generation and the dynamics of electricity prices in Australia', Energy Economics, Elsevier BV, pp. 105547-105547.
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Patel, V & Putnins, T 1970, 'How Much Insider Trading Really Happens in Stock Markets?', Financial Research Network Conference, Hamilton Island.
Ryan, L, Nikitopoulos Sklibosios, C, Richards, KA, Puente Moncayo, D & Collender, S 1970, 'Climate Change Transition Risk on Sovereign Bond Yield Spreads', Commodity and Energy Markets Annual Meeting, Madrid, Spain.
Xu, J, Chhaochharia, V & Sen, R 1970, 'Regulation-induced CSR', 8th Annual Asian Bureau of Finance and Economic Research Conference, Virtual.
