Option-implied information and predictability of extreme returns : [Version 28 Januar 2013]

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts individual expected returns and magnitude of realized stock-specific crashes in the cross-section of stocks. An investor that cares about the left tail of her wealth distribution benefits from using the tail loss measure as an information variable to construct managed portfolios of a risk-free asset and market index

Use of electronic signatures in the civil circulation

Данная работа посвящена изучению проблем совершения сделок путем электронного обмена данными. В работе рассматривается практика применения электронной подписи в гражданском обороте, приводятся случаи, законодательно ограничивающие применение электронного обмена данными, также рассматриваются пути возможного повышения применения электронной подписи в гражданском обороте.This paper studies the problem of making transactions using electronic data interchange and is focused on the practice of using digital signature in clerical correspondence. Also there have been listed cases restricting the use of electronic data interchange by law, and possible ways of increasing the use of digital signature in civil data interchange

Carbon tail risk

Strong regulatory actions are needed to combat climate change, but climate policy uncertainty makes it difficult for investors to quantify the impact of future climate regulation. We show that such uncertainty is priced in the option market. The cost of option protection against downside tail risks is larger for firms with more carbon-intense business models. For carbon-intense firms, the cost of protection against downside tail risk is magnified at times when the public’s attention to climate change spikes, and it decreased after the election of climate change skeptic President Trump

On Runge type theorems for solutions to strongly uniformly parabolic operators

Let $G_1, G_2$ be domains in ${\mathbb R}^{n+1}$, $n \geq 2$, such that $G_1 \subset G_2$ and the domain $G_1$ have rather regular boundary. We investigate the problem of approximation of solutions to strongly uniformly $2m$-parabolic system $\mathcal L$ in the domain $G_1$ by solutions to the same system in the domain $G_2$. First, we prove that the space $S _{\mathcal L}(G_2)$ of solutions to the system $\mathcal L$ in the domain $G_2$ is dense in the space $S _{\mathcal L}(G_1)$, endowed with the standard Fr\'echet topology of the uniform convergence on compact subsets in $G_1$, if and only if the complements $G_2 (t) \setminus G_1 (t)$ have no non-empty compact components in $G_2 (t)$ for each $t\in \mathbb R$, where $G_j (t) = \{x \in {\mathbb R}^n: (x,t) \in G_j\}$. Next, under additional assumptions on the regularity of the bounded domains $G_1$ and $G_1(t)$, we prove that solutions from the Lebesgue class $L^2(G_1)\cap S _{\mathcal L}(G_1)$ can be approximated by solutions from $S _{\mathcal L}(G_2)$ if and only if the same assumption on the complements $G_2 (t) \setminus G_1 (t)$, $t\in \mathbb R$, is fulfilled

“Scientific Communism” and the Modern Political Science in Ukraine

The article is devoted to the topic, which for the current generation of both Western and post-Soviet political science communities seems to be “Terra incognita.” It delivers the detailed analysis of conditions and key determinants of the foundation of such representative for Soviet ideology study course as “scientific communism.” The author also takes into consideration the motivation of the Soviet ruling class (CPSU) and scientific authority of USSR. Article attempts to reveal several following issues on “scientific communism”: a) its theoretical and ideological essence as a metanarrative in the socialistic countries; b) peculiarities of foundation, functioning, ideological, theoretical and methodological support of the system of professional training in the field of scientific communism in the Soviet Union and the Taras Shevchenko University of Kyiv in the period of the 60’s — 80’

Calculating the Process Driven Business Value of RFID Investments - A Causal Model for the Measurement of RFID Technologies in Supply Chain Logistics

Calculating the process driven value of RFID investments is very difficult. From a company’s perspective it is important to understand the concrete contribution of an RFID system with regard to individual processes. The problem of profitability analyses in IS is that such technologies cannot be calculated as an economic standard investment. Hence, we propose a reference model as a generic knowledge base for referential RFID impacts. Our model supports the structuring and evaluation of RFID benefits along business processes. With this, we propose indicators for the derivation of an RFID cause-and-effect chain. The allocation of RFID effects to processes within the reference framework helps in identifying the right logistic unit levels for RFID transponder investments

Pricing climate change exposure

We estimate the risk premium for firm-level climate change exposure among S&P 500 stocks and its time-series evolution between 2005 to 2020. Exposure reflects the attention paid by market participants in earnings calls to a firm’s climate-related risks and opportunities. When extracted from realized returns, the unconditional risk premium is insignificant but exhibits a period with a positive risk premium before the financial crisis and a steady increase thereafter. Forward-looking expected return proxies deliver an unconditionally positive risk premium with maximum values of 0.5%–1% p.a., depending on the proxy, between 2011 and 2014. The risk premium has been lower since 2015, especially when the expected return proxy explicitly accounts for the higher opportunities and lower crash risks that characterize high-exposure stocks. This finding arises as the priced part of the risk premium primarily originates from uncertainty about climate-related upside opportunities. In the time series, the risk premium is negatively associated with green innovation; Big Three holdings; and environmental, social, and governance fund flows and positively associated with climate change adaptation programs