Robust Modeling Using Non-Elliptically Contoured Multivariate t Distributions

Models based on multivariate t distributions are widely applied to analyze data with heavy tails. However, all the marginal distributions of the multivariate t distributions are restricted to have the same degrees of freedom, making these models unable to describe different marginal heavy-tailedness. We generalize the traditional multivariate t distributions to non-elliptically contoured multivariate t distributions, allowing for different marginal degrees of freedom. We apply the non-elliptically contoured multivariate t distributions to three widely-used models: the Heckman selection model with different degrees of freedom for selection and outcome equations, the multivariate Robit model with different degrees of freedom for marginal responses, and the linear mixed-effects model with different degrees of freedom for random effects and within-subject errors. Based on the Normal mixture representation of our t distribution, we propose efficient Bayesian inferential procedures for the model parameters based on data augmentation and parameter expansion. We show via simulation studies and real examples that the conclusions are sensitive to the existence of different marginal heavy-tailedness

Leverage Financial News to Predict Stock Price Movements Using Word Embeddings and Deep Neural Networks

Financial news contains useful information on public companies and the market. In this paper we apply the popular word embedding methods and deep neural networks to leverage financial news to predict stock price movements in the market. Experimental results have shown that our proposed methods are simple but very effective, which can significantly improve the stock prediction accuracy on a standard financial database over the baseline system using only the historical price information.Comment: 5 pages, 2 figures, technical repor

FAMILY OWNERSHIP AND CONTROL IN LARGE FIRMS: THE GOOD, THE BAD, THE IRRELEVANT -- AND WHY

There is a major debate regarding the role of concentrated family ownership and control in large firms, with three positions suggesting that such concentration is (1) good, (2) bad, or (3) irrelevant for firm performance. This article reports two studies to shed further light on this debate. Study 1 uses 744 publicly listed large firms in eight Asian countries to test competing hypotheses on the impact of the combination of family ownership and control on firm performance. On a country-by-country basis, our findings support all three positions. On an aggregate, pooled sample basis, the results support the “irrelevant” position. Study 2, based on a sample of 688 firms from the same eight Asian countries, endeavors to answer why Study 1 obtains different results for different countries. We theorize and document that Study 1 findings may be systematically associated with the level of shareholder protection embodied in legal and regulatory institutions. Study 2 thus sketches the contours of a cross-country, institution-based theory of corporate governance. Overall, our two studies lead to a finer-grained and more cumulative understanding of the crucial debate on family ownership and control in large firms.http://deepblue.lib.umich.edu/bitstream/2027.42/57220/1/wp840 .pd

FAMILY OWNERSHIP AND CONTROL IN LARGE FIRMS: THE GOOD, THE BAD, THE IRRELEVANT – AND WHY

There is a major debate regarding the role of concentrated family ownership and control in large firms, with three positions suggesting that such concentration is (1) good, (2) bad, or (3) irrelevant for firm performance. This article reports two studies to shed further light on this debate. Study 1 uses 744 publicly listed large firms in eight Asian countries to test competing hypotheses on the impact of the combination of family ownership and control on firm performance. On a country-by-country basis, our findings support all three positions. On an aggregate, pooled sample basis, the results support the “irrelevant” position. Study 2, based on a sample of 688 firms from the same eight Asian countries, endeavors to answer why Study 1 obtains different results for different countries. We theorize and document that Study 1 findings may be systematically associated with the level of shareholder protection embodied in legal and regulatory institutions. Study 2 thus sketches the contours of a cross-country, institution-based theory of corporate governance. Overall, our two studies lead to a finer-grained and more cumulative understanding of the crucial debate on family ownership and control in large firms.corporate governance, family firm, ownership, Asia Pacific