ABSTRACT This paper uses violations of put‐call parity to provide simple lower and upper bounds for measuring the size of asset price bubbles. Assuming only no‐arbitrage, this bubble detection approach avoids restrictive parametric model assumptions. We show that put‐call disparity provides a bubble's lower bound, and the lowest price of an out‐of‐the‐money call option determines the bubble's upper bound. To enhance precision in the presence of market frictions, we implement data‐driven regularization and bootstrap. Using S&P 500 index option prices from 1996 to 2025, we document a sustained bubble during the COVID‐19 era and capture market exuberance preceding the 2000 dot‐com and 2008 financial crashes. The evidence also supports the assertion that stock markets are incomplete and often violates no‐dominance.
Дифференциация социально-экономического развития регионов Сибирского федерального округа, а также существующие инфраструктурные и демографические проблемы, приводят к нарастающему технологическому отставанию в ключевых отраслях и сдерживают развитие высокотехнологичных отраслей и сферы услуг. Диверсификация экономики регионов СФО за счет отраслей с высоким потенциалом приведет к ускорению его социально-экономического развития и переходу к новой инновационной модели развития. Статья представляет интерес для исследователей и экспертов в области регионального управлени
В статье проводится комплексный анализ институциональных барьеров, сдерживающих пространственно-экономическую интеграцию малого и среднего предпринимательства (МСП) в Донецкой Народной Республике в условиях постконфликтного восстановления и интеграции с экономикой РФ. Методологическую основу составили системный и сравнительно-правовой анализ, статистические методы и экспертные оценки. В результате исследования диагностировано текущее состояние сектора МСП ДНР, характеризующееся преобладанием микропредприятий и восстановительной ориентацией, которое препятствует его эффективной интеграции. Выявлен и систематизирован комплекс специфических барьеров интеграции: правовая неопределённость из-за адаптации законодательства, высокие административные и коррупционные риски, катастрофическая нехватка квалифицированных кадров, ограниченный доступ к финансированию, а также разрушенная инфраструктура. Эти факторы сдерживают интеграционный потенциал предпринимательства, ведут к сохранению экономической изоляции региона и росту социальной напряженности. В качестве решения авторами предложена оригинальная трёхэтапная концептуальная модель пространственно-экономической интеграции. Первый этап включает экстренные меры: мораторий на проверки для новых интеграционных проектов, налоговую амнистию и запуск программ микрозаймов для стимулирования межрегиональной кооперации. Второй этап направлен на создание стабильных правил игры для интеграционных процессов через «регуляторную гильотину», создание гарантийного фонда для поддержки совместных проектов и открытие центров «Мой бизнес» с акцентом на интеграционные услуги. Третий этап фокусируется на устойчивой интеграции через стимулирование экспорта в регионы РФ, создание трансграничных кластеров и развитие кадрового потенциала для работы в едином экономическом пространстве. Пространственно-экономическая интеграция МСП представлена в работе как фундаментальная задача, от которой зависят темпы полномасштабного сближения региона, его социальная стабильность и долгосрочная экономическая жизнеспособность. Статья представляет практическую ценность для органов государственного управления ДНР и РФ при формировании программ поддержки интеграционных процессов предпринимательства на территориях со сложным международно-правовым статусом.
В статье исследуются структурные изменения в составе хозяйствующих субъектов российской экономики в условиях глобальной нестабильности, с особым акцентом на регионы Сибирского федерального округа. Анализируются отраслевые и региональные различия в развитии предпринимательства, включая динамику числа предприятий. Делается вывод, что адаптация бизнеса к кризисным явлениям последних лет проявилась в массовом переходе предпринимателей в более гибкие организационно-правовые формы, чему способствовали государственная политика и налоговые нововведения. Установлено, что предпринимательский сектор Сибири демонстрирует более высокую устойчивость по сравнению со среднероссийскими показателями, однако отмечаются значительные внутрирегиональные различия. На основе выявленных структурных сдвигов обоснована необходимость дифференцированного подхода к региональной поддержке бизнеса.
В статье представлены результаты сравнительного анализа методов прогнозирования временных рядов для ключевых производственных показателей металлургического предприятия. Исследованы два показателя: объем выпуска продукции и расходный коэффициент металла (РКМ). На первом этапе проведен векторный авторегрессионный анализ (VAR), который выявил высокую инерционность РКМ: собственные лаги показателя объясняют 85–95% его вариации, тогда как влияние внешних факторов статистически незначимо. На основании этого результата для прогнозирования применены одномерные модели ARIMA и экспоненциального сглаживания (ETS). Выявлено, что точность прогнозирования существенно зависит от характера производственного процесса: для проектно-ориентированного производства MAPE составляет 19–34%, тогда как для операционных показателей — менее 2%. Предложена альтернативная метрика оценки точности, учитывающая экономическую значимость прогнозной ошибки. Сформулированы практические рекомендации по применению методов прогнозирования в управлении металлургическим производством.
Leveraging AI technology to assess the facial trustworthiness of mutual fund managers, we examine its impact on fund performance. We find robust evidence that funds managed by individuals with higher facial trustworthiness achieve superior performance than funds managed by those with lower facial trustworthiness. This positive relation is more pronounced for male managers and those with shorter tenure in the mutual fund industry. Mechanism analyses suggest that funds managed by managers whose face is more trustworthy receive preferential treatment from investee firms and fund investors. These managers conduct corporate site visits more frequently, are more likely to meet with high-level executives, and obtain more private information. Additional analyses reveal that facially trustworthy fund managers invest less in small investee firms and their funds experience lower redemption during temporary underperformance. Overall, our findings highlight the significance of facial appearance in the financial industry.
ABSTRACT Leasing provides firms with a flexible way to seize business opportunities. In this study, we provide robust evidence that firms lease less when the economy becomes less predictable. This effect is more pronounced for firms with greater financial constraints or higher firm risk. Firms' dependence on leasing to acquire growth opportunities amplifies this negative impact, while economic expansions and risks associated with delayed decisions partially offset it. Moreover, leasing contributes to higher earnings growth when macroeconomic uncertainty is greater.
We study how shareholder activism shapes CEO careers by distinguishing between two competing hypotheses: discipline and reallocation. Employing a control function approach with expected mutual fund fire sales and purchases as exclusion restrictions, we analyze 3799 US campaigns from 2006 to 2018. We show that shareholder activism affects CEO careers primarily through a reallocation mechanism. It accelerates CEO turnover and strips inside directorships, but it does not impair external career prospects. Targeted CEOs frequently transition to leadership roles in private firms, and their outside directorships are largely unaffected. We further document significant heterogeneity by campaign hostility. The baseline results apply to nonhostile campaigns. Hostile campaigns, in contrast, impose broad and persistent career penalties, consistent with the disciplining hypothesis. Finally, we find that hedge funds differ from other activists primarily in nonhostile campaigns, where their interventions produce more pronounced CEO career adjustments.
This paper shows that dual-class firms issue more quarterly management earnings guidance, particularly when the guidance contains negative news. This effect is driven by the fact that insiders in dual-class firms maintain sufficient control to be isolated from market pressure and disciplinary outcomes following disclosure. The higher propensity to issue guidance is stronger among dual-class firms that are controlled or managed by their founders and becomes more pronounced as dual-class firms age. Moreover, dual-class managers, having close reputational and financial ties to their firms, issue more frequent guidance when they face higher litigation risk. I also find that dual-class managers are less likely to time their disclosures opportunistically, such as releasing them after trading hours to dampen market reaction. I address the endogeneity of ownership structure with a difference-in-differences estimation using a sample of dual-class firms that unified their share-classes. Importantly, I find that the disclosure quality of dual-class firms, measured by both accuracy and precision, is unaffected despite issuing more guidance.
This study examines how brand equity influences the diversity of firms' debt structures. We propose that brand equity, by signaling larger and more stable future cash flows and greater product market awareness, alters the fundamental trade-offs that drive optimal debt type diversity. Specifically, strong brand equity may enable greater debt diversity by reducing the costs of creditor coordination failure and reducing the firm's exposure to lender-specific shocks. Using trademarks to proxy for brand equity, we find a robust positive relationship between brand equity and debt diversity. Quasi-natural experiments support a likely causal interpretation of this effect. Cross-sectional tests further reveal that the relationship is more pronounced for firms facing greater information asymmetry and heightened product market competition. Our results are robust to alternative measures of brand equity and debt diversity.
We examine the effects of state capacity and civil liberties on bank intermediation, measured by banks' ability to generate liquidity in the economy. Theory suggests that a strong state that upholds civil liberties can create institutions that promote economic activity, including the development of its banking sector. We investigate this hypothesis by testing a possible channel: confidence in the banking system. Democracies tend to increase trust in the banking system by reforming institutions, while autocracies frequently rely on cronyism. Over the long run, trust in the banking system promotes banking development and intermediation in democracies, whereas cronyism and the risk of expropriation by autocrats undermine the potential for banking sector advancement in autocracies, despite having a trustworthy banking system. Our findings provide evidence in support of this channel, offering new insights into the role of political institutions in the banking sector.
We document a strong connection between portfolio trading-a recent innovation in the corporate bond market-and corporate bond ETFs. Portfolio trading refers to the execution of a basket of bonds as a single unit of risk with a single market-maker. Using a database of portfolio trades that we construct from TRACE, our trade-level and portfolio-level analyses identify two channels through which the use of bond ETFs allows market-makers to price these trades more efficiently than comparable trades in individual securities. First, ETFs give market-makers an effective tool for pricing and hedging portfolio risk. Second, ETFs provide an additional outlet for absorbing the risk that accumulates through portfolio trading.
We document the widespread use of "non-answers" by firms on interactive investor relations platforms in China, referring to vague or evasive responses that provide little substantive information. Analyzing over 5.3 million question-answer pairs, we find that firms with higher non-answer rates subsequently face greater stock price crash risk. The effect is stronger when responses are off-topic, cite confidentiality or regulatory constraints, redirect investors to existing disclosure, or concern corporate governance. Mechanism tests suggest that non-answers help conceal unfavorable information and delay its incorporation into stock prices. Analysis exploiting a regulatory shock shows that increased scrutiny reduces non-answer frequency and mitigates crash risk. Our findings highlight how opacity in firm-investor interactions on social media affects the timing of price discovery, emphasizing the need for transparency in corporate communication.
We show that interstate bank branching deregulation in the United States led to a substantial and persistent decline in small business lending, driven by a reallocation of deposits away from local relationship lenders and toward large, out-of-state entrants. Lending to small businesses fell by over 5% in affected areas, with dynamic estimates revealing persistent declines of just under 10% in the medium run. The sharpest declines occurred in counties with larger deposit bases and stronger housing markets, suggesting that entering banks prioritized deposit acquisition and mortgage lending over relationship-based small business credit. This funding disruption triggered lasting real effects: dynamic estimates suggest the number of small firms declined by approximately 5% relative to prederegulation levels, and employment at the smallest firms fell significantly. Our findings highlight a deposit channel through which deregulation can dislocate credit and reshape local business landscapes, even when aggregate banking activity ultimately stabilizes.
We examine how US cross-listing shapes the sensitivity of non-US firms' home-market liquidity to economic policy uncertainty (EPU). Using a matched global panel of 1894 American Depositary Receipts (ADRs) and comparable non-cross-listed firms from 20 countries between 1997 and 2024, we separately identify the effects of home-country EPU and US EPU on stock liquidity. We document a robust negative relation between home-country EPU and home-market liquidity, whereas the effect of US EPU is weaker and more context dependent. US cross-listing exhibits asymmetric moderating effects: It attenuates the adverse impact of home-country EPU but does not mitigate it, and, in weaker institutional environments, may intensify the transmission of US EPU through tighter cross-market links. These patterns are strongest among firms from emerging, civil-law, and weak-governance countries, and among high-tech firms. Our findings show that US cross-listing buffers firms against domestic policy uncertainty simultaneously and increases exposure to US economic policy-driven liquidity risk.
Using a recently developed measure of financial market risk perceptions, we show that risk perceptions affect firm-level corporate financing behavior. Firms tend to adjust their capital structures to cater to investors' appetite for risk. When perceived risks are low, firms tend to choose more leveraged capital structures to take advantage of higher valuations associated with higher risk exposure. When perceived risks are high, firms tend to deleverage to avoid undervaluation associated with higher risk exposure. Furthermore, in periods of low risk perceptions, bond issue announcement returns tend to be higher, whereas long-run returns tend to decline with leverage.
Loans to borrowers covered by affiliated analysts have lower spreads. This effect is driven mostly by affiliated analysts sharing information with, rather than demanding information from, lending arms. Exploiting plausibly exogenous changes in brokerage affiliations, we find that the results are likely to be causal. Affiliated analysts' private information and industry knowledge contribute to these spread reductions. Lenders are less likely to request projected financial information and to require financial information more frequently than quarterly via affirmative covenants, suggesting that information from affiliated analysts substitutes for costly borrower disclosure. Affiliated analyst coverage is associated with more financial covenants, consistent with affiliated analysts facilitating effective post-origination monitoring. These results highlight a novel role that analysts play in the debt market.
We investigate the stock trades of members of the United States Congress from July 2012 through March 2023. We find that Congress members herd, but their patterns differ markedly from those of institutional investors. Congress members follow their own trades over others' trades by a ratio of 61 to 1. When market and firm uncertainty rise, however, Congress members follow others' trades 200% more while following their own trades 50% less. We interpret this evidence as suggestive of informational cascades contributing to congressional herding. Furthermore, while congressional buys earn small abnormal returns, their magnitude decreases when Congress members herd.
The debt-to-GDP (DG) ratio should predict Treasury returns and primary surpluses according to the present-value identity, yet empirical evidence remains elusive. This paper resolves this puzzle by decomposing the DG ratio into a slow mean-reversion component and a local mean-reversion component. We show that the local mean reversion of the DG ratio delivers substantially improved out-of-sample forecasting gains of Treasury debt returns and surpluses, outperforming the original DG ratio, the historical average benchmark, and the adjusted ratios subject to structural breaks. In contrast, the slow mean-reversion component obscures predictive information by incorporating persistent, nonfundamental variation. Our findings are robust to alternative decomposition methods and DG ratio definitions (including nonmarketable debt). We develop a revised fiscal present-value model to rationalize the findings.
Exploiting the staggered adoptions of electronic systems across 70 bankruptcy courts in the United States, I investigate the impacts of digital transformation on bankruptcy behavior. The digital transformation in bankruptcy courts significantly lowered the cost of filing by enabling debtors to file for bankruptcy online, yet empirical tests show significant drops in bankruptcy filings after the introduction of electronic filing. Heterogeneity analyses support the hypothesis that the information channel plays a key role: in addition to lowering costs, the digital transformation gave debtors access to an online database, thus increasing access to information about a broad range of bankruptcy case documents.
