This paper introduces a noncausal autoregressive process with Cauchy errors in application to the exchange rates of the Bitcoin electronic currency against the US Dollar. The dynamics of the daily Bitcoin/USD exchange rate series displays episodes of local trends, which can be modelled and interpreted as speculative bubbles. The bubbles may result from the speculative component in the on-line t...

The growth of the private equity industry has spurred concerns about its impact on the economy. This analysis looks across nations and industries to assess the impact of private equity on industry performance. We find that industries where private equity funds invest grow more quickly in terms of total production and employment, and appear less exposed to aggregate shocks. We perform a number o...

Since the onset of Global Financial Crisis, presence institutional investors in housing markets has steadily increased over time. Real estate funds (REIFs) and other investment firms leverage large-scale buy-to-rent investments real assets that enable them to set prices rental markets. A significant fraction this funding is being provided form non-bank lending (i.e., not subject regulatory LTV ...

Abstract Portfolio performance measures using holdings data are panel regressions. The returns of a fund’s stocks regressed on its lagged portfolio weights. Stock fixed effects isolate average from time-series predictive ability. Control variables condition for fund the characteristics held. long-term drives some classical measures, while ability others. A “buy-and-hold drift,” where weights in...

We propose a tractable model of asset management in which benchmarking arises endogenously, and analyze its welfare consequences. Fund managers' portfolios are not contractible they incur private costs running them. Incentive contracts for fund managers create pecuniary externality through their effect on prices. Benchmarking inflates prices creates crowded trades. The crowding reduces the effe...

the aim this research is the diagnosis of production chains in oil’s regions of iran. for this reason, by using, input-output table for oil’s regions of iran,linkages and production chains are identified. the results of research indicate that although oil and natural gas sectors contain 50 percent of region’s output, but it is not a leading sector. in contrast, manufacturing of species of machi...

The Sukuk market has become the fastest growing segment of the Islamic financial services industry. Governments and other corporate entities have started tapping the local and international Sukuk markets in order to raise the required funds. The investor base is also expanding and Sukuk has now become a popular and obvious choice for retail investors in a number of jurisdictions. However, becau...

the natural gas consumption in iran has been continuously increasing due to several reasons including low prices of natural gas, development of gas supply networks, people’s salary increase, incorrect consumption culture and the increase of national economy growth.  although, the global natural gas consumption has increased by 38% since 2001, the national consumption in iran has increased by 11...

Using a proprietary dataset of institutional investors’ equity transactions, we document that institutional trading desks can sustain relative performance over adjacent periods. We find that trading-desk skill is positively correlated with the performance of the institution’s traded portfolio, suggesting that institutions that invest resources in developing execution abilities also invest in ge...