Finance - Research Publications

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    Forecasting variance swap payoffs
    Dark, J ; Gao, X ; van der Heijden, T ; Nardari, F (WILEY, 2022-12-01)
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    Task-independent metrics of computational hardness predict human cognitive performance
    Franco, JP ; Doroc, K ; Yadav, N ; Bossaerts, P ; Murawski, C (NATURE PORTFOLIO, 2022-07-28)
    The survival of human organisms depends on our ability to solve complex tasks in the face of limited cognitive resources. However, little is known about the factors that drive the complexity of those tasks. Here, building on insights from computational complexity theory, we quantify the computational hardness of cognitive tasks using a set of task-independent metrics related to the computational resource requirements of individual instances of a task. We then examine the relation between those metrics and human behavior and find that they predict both time spent on a task as well as accuracy in three canonical cognitive tasks. Our findings demonstrate that performance in cognitive tasks can be predicted based on generic metrics of their inherent computational hardness.
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    Caloric Primary Rewards Systematically Alter Time Perception
    Fung, BJ ; Murawski, C ; Bode, S ( 2017-04-26)
    Human time perception can be influenced by contextual factors, such as the presence of reward. Yet, the exact nature of the relationship between time perception and reward has not been conclusively characterized. We implemented a novel experimental paradigm to measure estimations of time across a range of suprasecond intervals, during the anticipation and after the consumption of fruit juice, a physiologically relevant primary reward. We show that average time estimations were systematically affected by the consumption of reward, but not by the anticipation of reward. Compared with baseline estimations of time, reward consumption was associated with subsequent overproductions of time, and this effect increased for larger magnitudes of reward. Additional experiments demonstrated that the effect of consumption did not extend to a secondary reward (money), a tasteless, noncaloric primary reward (water), or a sweet, noncaloric reward (aspartame). However, a tasteless caloric reward (maltodexrin) did induce overproductions of time, although this effect did not scale with reward magnitude. These results suggest that the consumption of caloric primary rewards can alter time perception, which may be a psychophysiological mechanism by which organisms regulate homeostatic balance.
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    Inferences regarding oneself and others in the human brain.
    Suzuki, S (Public Library of Science (PLoS), 2022-05)
    The human brain can infer one's own and other individuals' mental states through metacognition and mentalizing, respectively. A new study in PLOS Biology has implicated distinct brain regions of the medial prefrontal cortex (PFC) in metacognition and mentalizing.
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    Time to acquire: Regulatory burden and M&A activity
    Balogh, A ; Creedy, U ; Wright, D (Elsevier BV, 2022-07)
    Firms go public to make acquisitions, but private firms benefit from lower regulatory cost. Investment by newly public firms may be limited if managers need to focus on compliance instead of growth. Exploiting a 2012 US policy reform, we show that when regulatory cost is lower, firms make more acquisitions, do so more quickly after listing, and also increase other forms of investment. Examining potential unintended consequences of reduced regulation, we find that opportunistic bidding arising from higher information asymmetry does not explain these results. We inform the ongoing policy debate on broadening the scale and scope of regulatory relief.
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    Evolution of a dealer trading network and its effects on art auction prices
    De Silva, DG ; Gertsberg, M ; Kosmopoulou, G ; Pownall, RAJ (ELSEVIER, 2022-03-31)
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    Do state visits affect cross-border mergers and acquisitions
    Aleksanyan, M ; Hao, Z ; Vagenas-Nanos, E ; Verwijmeren, P (ELSEVIER, 2021-02-01)
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    Measuring Financial Wellbeing with Self-Reported and Bank Record Data
    Comerton-Forde, C ; De New, J ; Salamanca, N ; Ribar, DC ; Nicastro, A ; Ross, J (WILEY, 2022-03-18)
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    Gendered Prices
    Adams, RB ; Kraussl, R ; Navone, M ; Verwijmeren, P ; Van Nieuwerburgh, S (OXFORD UNIV PRESS INC, 2021-08-01)
    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.