| SEMINAR ŞTIINŢIFIC MONEDA, FINANŢE, BĂNCI – ARHIVĂ |
The psychobiological predictability of experimental asset bubbles
Marți, 5 noiembrie 2024 – ora 16:40 – sala 3M4 (etaj 1, clădirea Moxa)
Mihai Toma
Bucharest University of Economic Studies, mihai.toma@fabiz.ase.ro
Abstract:
Asset bubble crashes often result in severe negative consequences for financial markets, extending repercussions to the real economy. Understanding the dynamics of these crashes is critical for developing mechanisms to mitigate their impact. This study employs machine learning techniques alongside experimental tools and biometric data to forecast bubble crashes. It incorporates a three-legged task involving asset bubble formation, asset price forecasting, and risk elicitation to explore fluctuations in individual risk preferences at different bubble stages. Preliminary results indicate biometric activity can be used to forecast stock returns and bubble crashes. We add to the literature on neuroforecasting and bubble crash prediction by using innovative biometric data, while also providing insights into the dynamics of boom-and-bust cycles.x
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: Zăganu
Impact of ESG-related government efforts on economic growth
Marți, 29 octombrie 2024 – ora 16:40 – sala 3M4 (etaj 1, clădirea Moxa)
Iulian Norocel
Bucharest University of Economic Studies, iulian.norocel@fin.ase.ro
Abstract:
The sustainability-linked discussion has gained international importance in the recent years, as the concept of ESG seems to be on everyone’s lips nowadays. Debates at the highest levels are, however, still ongoing as to whether sustainability matters should be treated as a priority or little to no added economic value is added by transitioning to a green economy. What is without doubt in this equation is the position of the public sector, as the north star that will guide and drive the global economies towards a sustainable future or not. This paper aims at shedding some light over this very topical subject by presenting the link between ESG-related government efforts and economic development. Based on an extensive set of econometric techniques, the results indicate mixed impacts of various ESG-related forms of public spending and revenue on economic growth. The results can provide public policy advice as to how authorities should make use of their available resources to promote sustainability while retaining wealth creation.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: La Radu
The US Banks Dividend Policy During COVID-19 Pandemic: The Response to Government Containment and Economic Support Measures
Marți, 22 octombrie 2024 – ora 16:40 – sala 3M4 (etaj 1, clădirea Moxa)
Mihaela Dragotă
Bucharest University of Economic Studies, mihaela.dragota@fin.ase.ro
Abstract:
This study examines the determinants of dividend policy in the US commercial banking sector during the COVID-19 pandemic, using a comprehensive sample of 3,770 commercial banks. The analysis reveals a significant pandemic-induced decline in the dividend-to-equity ratio among these banks, indicating a significant shift in dividend policy. Interestingly, this reduction in dividend payouts was not accompanied by a deterioration in loan portfolio quality, as evidenced by a substantial 43% decrease in the non-performing loan rates in the second quarter of 2022 compared to the fourth quarter of 2019. Using a fixed-effect Tobit regression we show that under normal market conditions, dividend policy was influenced by various bank-specific factors, including size, profitability, equity to assets, loans-to-deposits, not performing loans, cash to central banks, and goodwill-to-assets. However, during the COVID-19 pandemic, only profitability, equity-to-assets, goodwill-to-assets, and size consistently and significantly affected dividend-to-equity ratio. Additionally, the study shows that the dividend payments were influenced by different COVID-19 support measures across US states. Furthermore, analyzing only dividend payers, during the COVID-19 pandemic, higher non-performing loan rate levels negatively and significantly influenced dividend payments. This relationship strengthened with increasing dividend-to-equity ratio levels, indicating a cautious approach by US commercial banks during the pandemic in terms of dividend policy. Despite receiving financial support, banks maintained conservative dividend payouts policies possible due to managerial accountability and regulatory oversight. This research provides valuable insights into how US commercial banks adjusted their dividend policies during the pandemic, emphasizing the roles of government support measures and bank fundamentals in these decisions.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: Old KItchen
Reviewing the origin and development of the Irrational fractional Brownian Motion model
Marți, 15 octombrie 2024 – ora 16:40 – sala 3M4 (etaj 1, clădirea Moxa)
Gurjeet Dhesi
London South Bank University, dhesig@lsbu.ac.uk
Abstract:
This paper reports a new methodology and results on the forecast of the numerical value of the fat tail(s) in asset returns distributions using the irrational fractional Brownian motion model. Optimal model parameter values are obtained from fits to consecutive daily 2-year period returns of S&P500 index over [1950–2016], generating 33-time series estimations. Through an econometric model, the kurtosis of returns distributions is modelled as a function of these parameters. Subsequently an auto-regressive analysis on these parameters advances the modelling and forecasting of kurtosis and returns distributions, providing the accurate shape of returns distributions and measurement of Value at Risk.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: Coolinart
Investor Sentiment and Systemic Risk: A Spillover in Spillovers Analysis
Marți, 8 octombrie 2024 – ora 16:40 – sala 3M4 (etaj 1, clădirea Moxa)
Dan Gabriel Anghel
Bucharest University of Economic Studies, dan.anghel@fin.ase.ro
Abstract:
We analyze if and how daily tail risk transmission between Financial stocks is influenced by investor sentiment (spillovers). On the one hand, we find that systemic risk and investor sentiment levels are negatively correlated. On the other hand, we show that investor sentiment spillovers are directly responsible for tail risk spillovers, most prominently for the month of January. The latter result suggests a sentiment contagion explanation for the January effect.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: J’ai Bistrot