Gold and CoVid-19: Uncovering the safe haven hypothesis with dynamic MSR modeling
During the catastrophic Covid-19 era, numerous assets experienced a decline in their original values, leaving the financial community grappling with the implications of the pandemic.
How to ‘Trump’ the energy market: Evidence from the WTI-Brent spread
Donald Trump’s use of Twitter was unprecedented. Many of Trump’s strong statements in reference to the U.S. oil & gas industry were intended to advertise his domestic policy agenda aimed at supporting re-industrialization and investment.
Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict
Using the TYDL causality test, this paper attempts (i) to investigate the existence of shift contagion among a large spectrum of financial markets during recent stress and stress-free periods and (ii) to propose a new approach of portfolio management based on the minimization of the causal in- te
Investor heterogeneity and negative skewness in stock returns: Evidence from institutional investors?
We examine the relation between the probability of future stock price crash and investors’ investment horizons. Using negative skewness as a proxy for firm-specific crash risk, we document a positive association between institutional ownership and stock price crash risk.
Rethinking companies' culture through knowledge management lens during Industry 5.0 transition
Ideological polarization and government debt
Models of strategic debt predict that public debt increases with polarization, measured by the ideological distance between the government and its likely successor.