MoneyScience News |
- Published / Preprint: Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
- Published / Preprint: Window Dressing in Mutual Funds
- Published / Preprint: Trading for Status
- Published / Preprint: Peer Effects in Risk Aversion and Trust
- Published / Preprint: Aggregate Investment and Investor Sentiment
- Published / Preprint: Debtholder Responses to Shareholder Activism: Evidence from Hedge Fund Interventions
- Published / Preprint: Mutual Funds and Information Diffusion: The Role of Country-Level Governance
- Blog Post: TheFinancialServicesClub: Things worth reading: 15th October 2014
- Published / Preprint: Optimal dividend payment under time of ruin contraint: Exponential case. (arXiv:1410.3793v1 [math.OC])
- Published / Preprint: Applications of statistical physics distributions to several types of income. (arXiv:1410.3811v1 [physics.soc-ph])
- Blog Post: iMFdirect: Aristotle & the Archbishop of Canterbury: Overheard at the IMF's Annual Meetings
- A Worthy Economics Nobel for Jean Tirole
- Richest 1% of people own nearly half of global wealth, says report
| Posted: 15 Oct 2014 01:45 AM PDT Investors face significant barriers in evaluating the performance of investment advisors. We focus on commodity trading advisors (CTAs) and show that from 1994 to 2012, CTA excess returns to investors (i.e., net of fees) were insignificantly different from zero while gross excess returns (i.e., before fees) were 6.1%, which implies that managers captured the performance in fees. Moreover, we find... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Window Dressing in Mutual Funds Posted: 15 Oct 2014 01:45 AM PDT We provide a rationale for window dressing wherein investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers make a risky bet on their performance during a reporting delay period, which affects investors' interpretation of the conflicting signals and hence their capital allocations.... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Trading for Status Posted: 15 Oct 2014 01:45 AM PDT We show that Keeping-Up-with-the-Joneses preferences can explain several puzzling retail investor behaviors, including the excessive trading of small local stocks. Status concerns lead households, especially those living in affluent areas, to demand these stocks to track their neighbors' wealth. This demand varies procyclically with the stock market's value and generates household trading. Using... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Peer Effects in Risk Aversion and Trust Posted: 15 Oct 2014 01:45 AM PDT Existing evidence shows that risk aversion and trust are largely determined by environmental factors. We test whether one such factor is peer influence. Using random assignment of MBA students to peer groups and predetermined survey responses of economic attitudes, we find causal evidence of positive peer effects in risk aversion and no effects in trust. After the first year of the MBA program,... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Aggregate Investment and Investor Sentiment Posted: 15 Oct 2014 01:45 AM PDT Using bottom-up information from corporate financial statements, we examine the relation between aggregate investment, future equity returns, and investor sentiment. Consistent with the business cycle literature, corporate investments peak during periods of positive sentiment, yet these periods are followed by lower equity returns. This pattern exists in most developed countries and survives... Visit MoneyScience for the Complete Article. |
| Posted: 15 Oct 2014 01:45 AM PDT We investigate the effect of shareholder activism on debtholders by examining a sample of bank loans for firms targeted by activist hedge funds. We compare loan spreads before and after intervention and show the effects of heterogeneous shareholder actions. Spreads increase when shareholder activism relies on the market for corporate control or financial restructuring. In contrast, spreads... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Mutual Funds and Information Diffusion: The Role of Country-Level Governance Posted: 15 Oct 2014 01:45 AM PDT We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semipublic information. Utilizing data from international mutual funds and stocks over the 2000–2009 period, we find that semipublic information-related stock rebalancing can be five times higher in countries with the worst quality of governance... Visit MoneyScience for the Complete Article. |
| Blog Post: TheFinancialServicesClub: Things worth reading: 15th October 2014 Posted: 14 Oct 2014 10:28 PM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article. |
| Posted: 14 Oct 2014 05:39 PM PDT We consider the classical optimal dividend payments problem under the Cram\'er-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin (P1). We use the Lagrangian dual function which leads to an auxiliary problem (P2). For this problem, given a multiplier $\Lambda$, we prove the uniqueness of the optimal barrier strategy and we also obtain its value... Visit MoneyScience for the Complete Article. |
| Posted: 14 Oct 2014 05:39 PM PDT This paper explores several types of income which have not been explored so far by authors who tackled income and wealth distribution using Statistical Physics. The main types of income we plan to analyze are income before redistribution (or gross income), income of retired people (or pensions), and income of active people (mostly wages). The distributions used to analyze income distributions are... Visit MoneyScience for the Complete Article. |
| Posted: 14 Oct 2014 09:37 AM PDT By iMFdirect editorsread more... Visit MoneyScience for the Complete Article. |
| A Worthy Economics Nobel for Jean Tirole Posted: 14 Oct 2014 04:35 AM PDT Why Jean Tirole Won the Economics Nobel http://t.co/2inmTaXosR — The New Yorker (@NewYorker) October 14, 2014 Visit MoneyScience for the Complete Article. |
| Richest 1% of people own nearly half of global wealth, says report Posted: 14 Oct 2014 04:19 AM PDT Credit Suisse study says richest 1% of people own nearly half of global wealth http://t.co/6eurU7lcqR — Risk Management (@Risk_Mgmt) October 14, 2014 Visit MoneyScience for the Complete Article. |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |