[Article] Can ESG Shape Cost of Capital?

Niklas Bussmann – University of Pavia Alessandra Tanda – University of Pavia Ellen Pei-yi Yu – Birbeck Can ESG Shape Cost of Capital? A Bibliometric Review and Empirical Analysis Through ML https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4173890 The paper employs AI methodologies to explain the impact of ESG behaviour on the cost of capital. Starting from the awareness of the increased interest by the literature and the market in understanding how ESG behaviour of companies enters the… Read More

[Article] Cryptocurrencies and stablecoins: a high-frequency analysis

Emilio Barucci, Giancarlo Giuffra Moncayo & Daniele Marazzina Politecnico di Milano Abstract We analyze cryptoasset markets (cryptocurrencies and stablecoins) at high frequency. We investigate intraday patterns. We show that Tether plays a crucial role as a safe haven and/or store of value facilitating trading in cryptocurrencies without going through traditional currencies. Markets centered on cryptocurrencies and stablecoins play a primary role aggregating preference/technology shocks and heterogeneous opinions, instead markets centered on the US dollar play… Read More

[Article] Does remuneration regulation help the adoption of Fintech and the sustainability agenda by banks?

Bankers’ remuneration reforms and new challenges Ania Zalewskahttps://onlinelibrary.wiley.com/doi/10.1111/corg.12454 Abstract: The lack of in-depth understanding of the effects of the post Global Financial Crisis (GFC) remuneration reforms creates a barrier to understand the impact of the reforms on how banks innovate to adopt Fintech and the sustainable banking agenda. If the existing remuneration regulation limits the openness to innovation and strategic change, then the regulation needs to be revisited and modified. The article… Read More

[Article] Investor demand in syndicated bond issuances: stylised facts (SUERF Policy Brief)

We are analysing (Hillebrand et al., 2021) investor demand in syndicated EFSF and ESM bond issuances from 2014 to 2020 on an unprecedented granularity level of individual orders. In particular, we discuss price dynamics in the transactions and its relation to investor demand, and we examine whether there are any indications of order book inflation that might explain the increased volatility in order book volume. We note that the pricing of ESM… Read More

[Article] Data Science for Finance: Best-Suited Methods and Enterprise Architectures

Appl. Syst. Innov. 2021, 4(3), 69; https://doi.org/10.3390/asi4030069 We live in an era of big data. Large volumes of complex and difficult-to-analyze data exist in a variety of industries, including the financial sector. In this paper, we investigate the role of big data in enterprise and technology architectures for financial services. We followed a two-step qualitative process for this. First, using a qualitative literature review and desk research, we analyzed and present the data science… Read More

[Article] Financial literacy and psychological disaster preparedness: applicability of approach based on fuzzy functional dependencies

Article from Cost Action members, with acknowledgement to the Action Information Processing & Management (https://authors.elsevier.com/c/1eJGe15hYdmTZ4) Abstract: Recent catastrophes and crises emphasize the necessity of an individual’s and household’s preparedness for coping with these events. Previous research focuses mainly on short-term preparation and immediate response to catastrophes. The ex ante approach to managing long-term effects can rarely be found in literature, especially with an emphasis on financial preparedness. In this work, we use… Read More

[Article] Forecasting: Theory and Practice

Article from Cost Action members, with acknowledgement to the Action The International Journal of Forecasting has just published “Forecasting: Theory and Practice,” which is an encyclopedic article on forecasting written by 80 leading scholars and is available online with open access at this link (https://doi.org/10.1016/j.ijforecast.2021.11.001). This non-systematic review of forecasting theory and practice gives an overview of a wide range of theoretical, state-of-the-art models, methods, concepts, and approaches for preparing, producing, organizing,… Read More

[Article] A machine learning model for lapse prediction in life insurance contracts

Article from Cost Action members, with acknowledgement to the Action Michele Azzone, Emilio Barucci, Giancarlo Giuffra Moncayo, Daniele Marazzina Abstract: We use the Random Forest methodology to predict the lapse decision of life insurance contracts by policyholders. The methodology outperforms the logistic model, even if features interactions are considered. We use global and local interpretability tools to investigate how the model works. We show that non-economic features (the time passed from the incipit of… Read More

[Article] Financial literacy and psychological disaster preparedness: applicability of approach based on fuzzy functional dependencies

Article from Cost Action members, with acknowledgement to the Action Miljan Vučetić, Zuzana Brokešová, Miroslav Hudec, Erika Pastoráková Abstract: Recent catastrophes and crises emphasize the necessity of an individual’s and household’s preparedness for coping with these events. Previous research focuses mainly on short-term preparation and immediate response to catastrophes. The ex ante approach to managing long-term effects can rarely be found in literature, especially with an emphasis on financial preparedness. In this… Read More