We examine the predictability of 299 capital market anomalies enhanced by 30 machine learning approaches and over 250 models in a dataset with more than 500 million firm-month anomaly observations. We find significant monthly (out-of-sample) returns of around 1.8–2.0%, and over 80% of the...

Economic conflict resolution historically has been seen, by the main schools of economic thought, as the distribution of given, scarce resources. The neoclassical school argued that the distribution was efficiently solved by the price system, and the Marxist school argued that a revolution to...

This paper proposes a new model called Fourier-GARCH that is a modification of the popular GARCH(1,1). This modification allows for time-varying first and second moments via means of Flexible Fourier transforms. A nice feature of this model is its ability to capture both short and long run...

We propose a novel method to forecast corporate earnings, which combines the accuracy of analysts’ forecasts with the unbiasedness of a cross-sectional model. We build on recent insights from the earnings forecasts literature to improve analysts’ forecasts in two ways: reducing their...

We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated floating rate notes (FRNs) provides an ideal laboratory to study these e...

The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...

We analyze the global financial crisis and the European sovereign debt crisis showing that the European network exhibits a strong community structure with two main blocks acting as shock spreader and receiver, respectively. We provide evidence of the prominent role played by insurances in the...

We study to what extent the Bitcoin blockchain security permanently depends on the underlying distribution of cryptocurrency market outcomes. We use daily blockchain and Bitcoin data for 2014-2019 and employ the ARDL approach. We test three equilibrium hypotheses: (i) sensitivity of the Bitcoin...

This paper studies to what extent the cost of operating a proof-of-work blockchain is intrinsically linked to the cost of preventing attacks, and to what extent the underlying digital ledger's security budgets are correlated with the cryptocurrency market outcomes. We theoretically derive an...

This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart...