WORKING PAPERS
WORKING PAPERS
This study shows that relative price dispersion impacts risk premia. Notably, firms associated with goods and services that have increased (decreased) in price relative to the headline inflation rate earn high (low) returns. We refer to this return spread of 0.88% per month as the relative price premium. We rationalize the premium via a consumption-based asset-pricing model that features imperfectly substitutable goods and an investor with preferences for the mix of goods consumed. As shocks to relative prices induce the investor to consume a suboptimal bundle of goods, high price dispersion signals bad times for the investor and the economy.
This study shows that relative price dispersion impacts risk premia. Notably, firms associated with goods and services that have increased (decreased) in price relative to the headline inflation rate earn high (low) returns. We refer to this return spread of 0.88% per month as the relative price premium. We rationalize the premium via a consumption-based asset-pricing model that features imperfectly substitutable goods and an investor with preferences for the mix of goods consumed. As shocks to relative prices induce the investor to consume a suboptimal bundle of goods, high price dispersion signals bad times for the investor and the economy.
Master's thesis, 2022
Using data from the United States 1,542 listed firms over 1997 to 2012, this study explores the influence of family ownership on corporate social responsibility (CSR) and the firm value. I focus primarily on the moderating effects of CSR on the association between family ownership and the firm’s value. The main findings indicate that family ownership causes an increase in CSR, which in turn causes an increase in the firm value. Using an instrumental variable approach, I find that family owners seek reputation effects and invest in CSR. These CSR investments create insurance-like protection and cause an increase in the family firm value. Overall, the immediate effect of family ownership on the firm’s value is marginal if family owners do not invest in CSR. I find that these effects are greater if CSR investments are related to internal stakeholders, if a family firm is young, small, and if its chief executive officer is a family member. This research strengthens the literature by demonstrating the first study that investigates simultaneous associations between family ownership, CSR, and firm value and alleviates the endogeneity concerns.
Using data from the United States 1,542 listed firms over 1997 to 2012, this study explores the influence of family ownership on corporate social responsibility (CSR) and the firm value. I focus primarily on the moderating effects of CSR on the association between family ownership and the firm’s value. The main findings indicate that family ownership causes an increase in CSR, which in turn causes an increase in the firm value. Using an instrumental variable approach, I find that family owners seek reputation effects and invest in CSR. These CSR investments create insurance-like protection and cause an increase in the family firm value. Overall, the immediate effect of family ownership on the firm’s value is marginal if family owners do not invest in CSR. I find that these effects are greater if CSR investments are related to internal stakeholders, if a family firm is young, small, and if its chief executive officer is a family member. This research strengthens the literature by demonstrating the first study that investigates simultaneous associations between family ownership, CSR, and firm value and alleviates the endogeneity concerns.
PUBLICATIONS
PUBLICATIONS
In Fintech with Artificial Intelligence, Big data, and Blockchain. Springer, 2021.
In Fintech with Artificial Intelligence, Big data, and Blockchain. Springer, 2021.
This chapter describes the principles of blockchain, cryptocurrency, and artificial intelligence (AI) and their applications to the financial sector. We first present the core design of blockchain, and discuss cryptocurrency, the best-known application of blockchain. We present the question of whether a cryptocurrency is a currency or an asset and whether it can become be a new safe haven asset. We summarize the controversy regarding the issuance of a central bank digital currency (CBDC). It is found that digital currencies only show the potential to inject liquidity into an economy during market stress. Additionally, most of the recognized advantages of blockchain applications are related to two key concepts: decentralization and consensus. Blockchain’s decentralization can be used to democratize banking services, corporate governance, and the real estate industry. Finally, we present the strengths of and concerns in the use of AI technologies in banking, lending platforms, and asset management, bearing in mind the most recently developed applications in these areas. This chapter provides a contribution to the literature that incorporates both theory and practice in blockchain, presenting a detailed review of the performances and limitations of the use of AI techniques in the financial sector, as well as accounting for recent publications that incorporate measures relating to the COVID-19 pandemic, CBDC, and alternative data.
This chapter describes the principles of blockchain, cryptocurrency, and artificial intelligence (AI) and their applications to the financial sector. We first present the core design of blockchain, and discuss cryptocurrency, the best-known application of blockchain. We present the question of whether a cryptocurrency is a currency or an asset and whether it can become be a new safe haven asset. We summarize the controversy regarding the issuance of a central bank digital currency (CBDC). It is found that digital currencies only show the potential to inject liquidity into an economy during market stress. Additionally, most of the recognized advantages of blockchain applications are related to two key concepts: decentralization and consensus. Blockchain’s decentralization can be used to democratize banking services, corporate governance, and the real estate industry. Finally, we present the strengths of and concerns in the use of AI technologies in banking, lending platforms, and asset management, bearing in mind the most recently developed applications in these areas. This chapter provides a contribution to the literature that incorporates both theory and practice in blockchain, presenting a detailed review of the performances and limitations of the use of AI techniques in the financial sector, as well as accounting for recent publications that incorporate measures relating to the COVID-19 pandemic, CBDC, and alternative data.