2 papers
q-fin.ST2023
Behavioral Machine Learning? Regularization and Forecast Bias
Murray Z. Frank, Jing Gao, Keer Yang
Standard forecast efficiency tests interpret violations as evidence of behavioral bias. We show theoretically and empirically that rational forecasters using optimal regularization…
q-fin.GN2022
Equilibrium Defaultable Corporate Debt and Investment
Hong Chen, Murray Zed Frank
In dynamic capital structure models with an investor break-even condition, the firm's Bellman equation may not generate a contraction mapping, so the standard existence and uniquen…