{"title":"Productivity, Managers’ Social Connections and the Great Recession","authors":"I. Hasan, Stefano Manfredonia","doi":"10.2139/ssrn.3802089","DOIUrl":"https://doi.org/10.2139/ssrn.3802089","url":null,"abstract":"This paper investigates whether managers’ personal connections help corporations to escape the productivity trap. Leveraging the heterogeneity in the severity of the GreatRecession across different sectors, the paper reports that (i) the Great Recession has a negative effect on corporate productivity, (ii) the effect is long-lasting and persistent, supporting a productivity-hysteresis hypothesis, (iii) the value of managers’ personal connections are counter-cyclical and indeed allow corporations to escape the productivity trap primarily via favorable credit conditions, in periods of high information asymmetries and tight credit constraints.","PeriodicalId":274054,"journal":{"name":"Stevens: Finance (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133500579","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Discrete-time Variance-optimal Deep Hedging in Affine GARCH Models","authors":"Hongkai Cao, Zhenyu Cui, Yanchu Liu","doi":"10.2139/ssrn.3659275","DOIUrl":"https://doi.org/10.2139/ssrn.3659275","url":null,"abstract":"Variance-optimal hedging in a discrete-time framework is a practical options strategy that aims to reduce the residual risk. It has been widely used in volatility trading desks. In this paper, we solve the variance-optimal hedging problem for affine GARCH models both semi-explicitly and through deep learning. Applying the Laplace transform method, we derive semi-explicit formulas for the variance-optimal hedging strategy and initial endowment. We also apply the Long Short-Term Memory (LSTM) recurrent neural network (RNN) architectures and solve for optimal hedging strategies under mean square error loss function with transaction costs. Numerical examples illustrate the hedging performance for different approaches, option styles, hedging frequencies and transaction costs.","PeriodicalId":274054,"journal":{"name":"Stevens: Finance (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125117959","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Option to Abandon and Investment Return","authors":"Suman Banerjee, Thorsten Janus","doi":"10.2139/ssrn.3057803","DOIUrl":"https://doi.org/10.2139/ssrn.3057803","url":null,"abstract":"We analyze returns to lumpy projects with multiple investors. Since each investor's commitment increases the likelihood of project completion it exerts a positive externality on other investors. We show that due to this externality either a rise in the cost of abandoning the project or decreased volatility of returns to abandonment can increase ex-ante returns. These findings provide exceptions to the standard results that investment irreversibility (high abandonment costs) decreases returns and option volatility increases returns. Finally, we show that the optimal number of investors is either large or very small.","PeriodicalId":274054,"journal":{"name":"Stevens: Finance (Topic)","volume":"80 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131612941","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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