by Yu Sun, Min Dai, Zuoquan Xu, Xunyu Zhou

by Yu Sun, Xuedong He

by Zhesheng Qiu, Yicheng Wang, Le Xu, Francesco Zanetti

by Sandip Bisui, Jeffrey J. Reuer, Harsha Tadikonda, Kun Zhang

by Yinuo Tang, Yan Shen, Juan Bu , Dongfa Feng

by Kun Zhang

by Ehsan Bolandifar, Zhong Chen, Jinxin Yang, Weihua Zhou

by Gian Caspari, Manshu Khanna

by Yinuo Tang

by Muhao Bai,Luming Zhao, Weiming Ye

by Ruixue Jia, Xiao Ma, Victoria Wenxin Xie

by Tae Hyun Baek, Jooyoung Park, Jeong Soo Kim

by Taomao Zhou*, Cuifen Weng

by Xuhang Shen

by Luye Bao, Mikhaila N. Calice, Dominique Brossard

by Andre Cavalcanti, Joao J. Ferreira, Stephan Gerschewski

by Xuhang Shen, Jiaxuan Zhang

Abstract: This paper investigates whether female leaders of firms in developing countries tend to hire more female workers. We develop a theoretical model in which female leaders increase the share of female workers by reducing statistical discrimination or taste-based discrimination against female workers. We then employ the World Bank Enterprise Survey (WBES) data for 125 developing countries over the period of 2006–2023 and find that female leaders increase the share of female workers in firms. Further analyses confirm the results, including coefficient stability test, robustness of inference to replacement, 2SLS analysis, firm fixed effects model, and the double machine learning method. We find suggestive evidence of mechanisms supporting the hypothesis that female leaders can increase female employment by mitigating statistical discrimination. However, we find no evidence supporting the hypothesis that female leaders promote female employment by alleviating taste-based discrimination.

by Jaehyuk Choi, Byoung Ki Seo  

Abstract: The stochastic-alpha-beta-rho (SABR) model has been widely adopted in options trading. In particular, the normal (β=0) SABR model is a popular model choice for interest rates because it allows negative asset values. The option price and delta under the SABR model are typically obtained via asymptotic implied volatility approximation, but these are often inaccurate and arbitrageable. Using a recently discovered price transition law, we propose a Gaussian quadrature integration scheme for price options under the normal SABR model. The compound Gaussian quadrature sum over only 49 points can calculate a very accurate price and delta that are arbitrage-free.

by Cheng Jiang*, Yongtian Yu, Xinyu Zhang

Abstract: We study the quantitative impact of lender control rights on corporate investment, asset prices, and the aggregate economy. We build a general equilibrium model in which the breaching of a loan covenant (technical default) entails a switch in investment control rights from borrowers to lenders. Lenders optimally choose low-risk projects, thus mitigating borrowers’ risk-taking incentives and lowering the cost of equity. This mechanism generates strong macroeconomic effects and mitigates the financial accelerator. Consistent with our model, proximity to technical default in the data is associated with 4.12% lower returns and lower exposure to systematic risk.