MoneyScience News |
- Blog Post: relmbo: Fidelity Freedom Funds Aren't "Free" But Are "Dumb"
- Blog Post: TheReformedBroker: It's Never Been Cheaper, Easier, Richer, Smarter or Socialer To Be An Investor
- Blog Post: HighFrequencyTradingReview: Managed Futures Case Study " 2100 Xenon
- Blog Post: TheFinancialServicesClub: Football: far more important than trading
- RT @TandF_Economics Don't forget to check back tomorrow for the third clue of T&Fâs Social Media Week competitio... http://t.co/PyCy9RKF
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @bob_bruner @uofmaryland @booth_insider
- Cass News: Cass and the British Council of Shopping Centres link up to deliver executive masterclasses http://t.co/ujO4wBIv
- Blog Post: CLANSMAN2: White Papers on Software Architecture for Financial Services by asymptotix
- Blog Post: Falkenblog: de Botton on Religion
- Blog Post: AllAboutAlpha: Average College Endowment Performance Improves and Size Matters
- Published / Preprint: Dynamic Markov bridges motivated by models of insider trading. (arXiv:1202.2980v1 [math.PR])
- Published / Preprint: Optimal arbitrage under model uncertainty. (arXiv:1202.2999v1 [math.PR])
- Published / Preprint: An Asymptotic Expansion for Solutions of Cauchy-Dirichlet Problem for Second Order Parabolic PDEs and its Application to Pricing Barrier Options. (arXiv:1202.3002v1 [q-fin.CP])
- Published / Preprint: Derivatives and Credit Contagion in Interconnected Networks. (arXiv:1202.3025v1 [q-fin.RM])
- The Relative Significance of Finance Journals, Authors and Articles: An Update - http://t.co/q97W6V3g #tcm
- The Relative Significance of Finance Journals, Authors and Articles: An Update - http://t.co/G0ZVXBdh #tcm
- Confidence, Opinions of Market Efficiency, and Investment Behavior of Finance Professors - http://t.co/XPajkrTM #tcm
- RT @TandF_Economics Have you found the second letter in the T&F Social Media Week competition? #SMW http:... http://t.co/828MHBci
- Blog Post: EconometricsBeat: "Asymptotic" Properties of Estimators and Tests
- Blog Post: FINalternatives: Ex-Goldman Oil Prop. Trading Chief Readies Hedge Fund
- RT @QFINANCEnews: FSA's Hector Sants passes the buck for financial crisis http://t.co/Mya1vGVH
- Published / Preprint: The Power of Voice: Managerial Affective States and Future Firm Performance
- Published / Preprint: Political Uncertainty and Corporate Investment Cycles
- Published / Preprint: The Credit Ratings Game
- Published / Preprint: Tiebreaker: Certification and Multiple Credit Ratings
- Published / Preprint: External Networking and Internal Firm Governance
- Published / Preprint: Information Disclosure and Corporate Governance
- Published / Preprint: The Value of Investment Banking Relationships: Evidence from the Collapse of Lehman Brothers
- Published / Preprint: When It Pays to Pay Your Investment Banker: New Evidence on the Role of Financial Advisors in M&As
- Published / Preprint: Why Does the Law Matter? Investor Protection and Its Effects on Investment, Finance, and Growth
- Published / Preprint: FamilyâControlled Firms and Informed Trading: Evidence from Short Sales
- Published / Preprint: MISCELLANEA
- Blog Post: QFINANCE: FSA's Hector Sants passes the buck for financial crisis
- Blog Post: substructural: Behavioral Finance and Sentiment/Tone Mining
- Cass and the British Council of Shopping Centres link up to deliver executive masterclasses
- Fascinating: Analysis of Newly Submitted Preprints at arXiv: Article Downloads, Twitter Mentions, Citations - http://t.co/LqEBGfww #tcm
- Fascinating: Analysis of Newly Submitted Preprints at arXiv: Article Downloads, Twitter Mentions, Citations - http://t.co/eoJxHYjT #tcm
- Fascinating: Analysis of Newly Submitted Preprints at arXiv: Article Downloads, Twitter Mentions, Citations - http://t.co/iKI0NXSc #tcm
- Revisted: Free Access to Research by IAFE/Sungard Financial Engineer of the Year Robert Engle - http://t.co/oD3gqjUm @tandf_economics
- Blog Post: mathfinance: Stochastic Volatility Models and the Pricing of VIX Options
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @wallstreettech @fincad @xignite @mfdvbrokers
| Blog Post: relmbo: Fidelity Freedom Funds Aren't "Free" But Are "Dumb" Posted: 15 Feb 2012 04:30 AM PST Fidelity Investments is known as "Fido" on Wall Street. Maybe it's because their target date retirement funds are dogs? Â Fido is known for its actively managed stock mutual funds. Â Peter Lynch became famous as the index-beating manager of the Fidelity Magellan fund. And while Magellan has struggled since Peter retired some 20 years ago, Will Danoff and Joel Tillinghast have... Visit MoneyScience for the Complete Article.      |
| Posted: 15 Feb 2012 04:12 AM PST "Sometimes in the midst of volatile markets we can forget just how far things have come." Visit MoneyScience for the Complete Article.    |
| Blog Post: HighFrequencyTradingReview: Managed Futures Case Study " 2100 Xenon Posted: 15 Feb 2012 01:16 AM PST An interview with Jay R. Feuerstein & Bruce Mumfordread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Football: far more important than trading Posted: 15 Feb 2012 01:12 AM PST This is so good, I had to extract if for the blog in its own right.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2012 01:04 AM PST moneyscience: RT @TandF_Economics Don’t forget to check back tomorrow for the third clue of T&F’s Social Media Week competitio... http://t.co/PyCy9RKF Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 11:29 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @bob_bruner @uofmaryland @booth_insider Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 10:03 PM PST BusinessSchools: Cass News: Cass and the British Council of Shopping Centres link up to deliver executive masterclasses http://t.co/ujO4wBIv Visit MoneyScience for the Complete Article.    |
| Blog Post: CLANSMAN2: White Papers on Software Architecture for Financial Services by asymptotix Posted: 14 Feb 2012 07:41 PM PST read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: de Botton on Religion Posted: 14 Feb 2012 06:59 PM PST I'm rather baffled by the strong atheism espoused by Dawkins and Hitchens, for reasons well put by English writer Alain de Botton:Instead, he connects his father's militant atheism to the affliction that he reckons made Dawkins and Christopher Hitchens so caustic in their bestselling attacks on religion. "I've got a generational theory about this. Particularly if you're a man over 55 or so,... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: Average College Endowment Performance Improves and Size Matters Posted: 14 Feb 2012 05:47 PM PST Data on the endowments of institutions of higher learniung shows a significant spread between the performance of the largest endowments and the lagging performance of the smaller. The return that endowments received on their use of alternative strategies, too, depends in part upon the size of the endowment doing the investing. Endowments under $25 million in assets under management made only 9.5... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 05:33 PM PST Given a Markovian Brownian martingale $Z$, we build a process $X$ which is a martingale in its own filtration and satisfies $X_1 = Z_1$. We call $X$ a dynamic bridge, because its terminal value $Z_1$ is not known in advance. We compute explicitly its semimartingale decomposition under both its own filtration $\cF^X$ and the filtration $\cF^{X,Z}$ jointly generated by $X$ and $Z$. Our... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal arbitrage under model uncertainty. (arXiv:1202.2999v1 [math.PR]) Posted: 14 Feb 2012 05:33 PM PST In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative investment rules over a given time horizon, and under any admissible configuration of model parameters that might materialize. One characterization is in terms... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 05:33 PM PST This paper develops a rigorous asymptotic expansion method with its numerical scheme for the Cauchy-Dirichlet problem in second order parabolic partial differential equations (PDEs). As an application, we propose a new approximation formula for pricing barrier option in the log-normal SABR stochastic volatility model. Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 05:33 PM PST The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly triggering each other through contagion. Although credit default swaps have radically altered the dynamics of contagion for more than a decade, models... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 04:31 PM PST BusinessSchools: The Relative Significance of Finance Journals, Authors and Articles: An Update - http://t.co/q97W6V3g #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 04:22 PM PST moneyscience: The Relative Significance of Finance Journals, Authors and Articles: An Update - http://t.co/G0ZVXBdh #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 04:22 PM PST moneyscience: Confidence, Opinions of Market Efficiency, and Investment Behavior of Finance Professors - http://t.co/XPajkrTM #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 01:15 PM PST moneyscience: RT @TandF_Economics Have you found the second letter in the T&F Social Media Week competition? #SMW http:... http://t.co/828MHBci Visit MoneyScience for the Complete Article.    |
| Blog Post: EconometricsBeat: "Asymptotic" Properties of Estimators and Tests Posted: 14 Feb 2012 11:32 AM PST We're so familiar with "large-sample" asymptotics as a way of characterizing the behaviour of our estimators and tests in econometrics, that we tend to forget that there are other, very interesting ways of evaluating their behaviour, and approximating small-sample behaviour. I touched on this in an earlier earlier post when I discussed "small-sigma" (or "small error") asymptotics. However, that's... Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: Ex-Goldman Oil Prop. Trading Chief Readies Hedge Fund Posted: 14 Feb 2012 11:14 AM PST Another veteran of Goldman Sachs' proprietary trading operation is set to launch a hedge fund.read more... Visit MoneyScience for the Complete Article.    |
| RT @QFINANCEnews: FSA's Hector Sants passes the buck for financial crisis http://t.co/Mya1vGVH Posted: 14 Feb 2012 11:11 AM PST moneyscience: RT @QFINANCEnews: FSA's Hector Sants passes the buck for financial crisis http://t.co/Mya1vGVH Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Power of Voice: Managerial Affective States and Future Firm Performance Posted: 14 Feb 2012 09:42 AM PST ABSTRACTWe measure managerial affective states during earnings conference calls by analyzing conference call audio files using vocal emotion analysis software. We hypothesize and find that, when managers are scrutinized by analysts during conference calls, positive and negative affects displayed by managers are informative about the firm's financial future. Analysts do not incorporate this... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Political Uncertainty and Corporate Investment Cycles Posted: 14 Feb 2012 09:42 AM PST ABSTRACTWe document cycles in corporate investment corresponding with the timing of national elections around the world. During election years, firms reduce investment expenditures by an average of 4.8% relative to nonelection years, controlling for growth opportunities and economic conditions. The magnitude of the investment cycles varies with different country and election characteristics. We... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Credit Ratings Game Posted: 14 Feb 2012 09:42 AM PST ABSTRACTThe collapse of AAAâ€rated structured finance products in 2007 to 2008 has brought renewed attention to conflicts of interest in credit rating agencies (CRAs). We model competition among CRAs with three sources of conflicts: (1) CRAs conflict of understating risk to attract business, (2) issuers’ ability to purchase only the most favorable ratings, and (3) the trusting nature of some... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Tiebreaker: Certification and Multiple Credit Ratings Posted: 14 Feb 2012 09:42 AM PST ABSTRACTThis paper explores the economic role credit rating agencies play in the corporate bond market. We consider three existing theories about multiple ratings: information production, rating shopping, and regulatory certification. Using differences in rating composition, default prediction, and credit spread changes, our evidence only supports regulatory certification. Marginal, additional... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: External Networking and Internal Firm Governance Posted: 14 Feb 2012 09:42 AM PST ABSTRACTWe use panel data on S&P 1500 companies to identify external network connections between directors and CEOs. We find that firms with more powerful CEOs are more likely to appoint directors with ties to the CEO. Using changes in board composition due to director death and retirement for identification, we find that CEOâ€director ties reduce firm value, particularly in the absence of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Information Disclosure and Corporate Governance Posted: 14 Feb 2012 09:42 AM PST ABSTRACTPublic policy discussions typically favor greater corporate disclosure as a way to reduce firms’ agency problems. This argument is incomplete because it overlooks that better disclosure regimes can also aggravate agency problems and related costs, including executive compensation. Consequently, a point can exist beyond which additional disclosure decreases firm value. Holding all else... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 09:42 AM PST ABSTRACTWe examine the longâ€standing question of whether firms derive value from investment bank relationships by studying how the Lehman collapse affected industrial firms that received underwriting, advisory, analyst, and marketâ€making services from Lehman. Equity underwriting clients experienced an abnormal return of around â€"5%, on average, in the 7 days surrounding Lehman's bankruptcy,... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 09:42 AM PST ABSTRACTWe provide new evidence on the role of financial advisors in M&As. Contrary to prior studies, topâ€tier advisors deliver higher bidder returns than their nonâ€topâ€tier counterparts but in public acquisitions only, where the advisor reputational exposure and required skills set are relatively larger. This translates into a $65.83 million shareholder gain for an average bidder. The... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 09:42 AM PST ABSTRACTInvestor protection is associated with greater investment sensitivity to q and lower investment sensitivity to cash flow. Finance plays a role in causing these effects; in countries with strong investor protection, external finance increases more strongly with q, and declines more strongly with cash flow. We further find that q and cash flow sensitivities are associated with ex post... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: FamilyâControlled Firms and Informed Trading: Evidence from Short Sales Posted: 14 Feb 2012 09:42 AM PST ABSTRACTWe investigate the relation between organization structure and the information content of short sales, focusing on founder†and heirâ€controlled firms. Our analysis indicates that familyâ€controlled firms experience substantially higher abnormal short sales prior to negative earnings shocks than nonfamily firms. Supplementary testing indicates that family control characteristics... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: MISCELLANEA Posted: 14 Feb 2012 09:42 AM PST    |
| Blog Post: QFINANCE: FSA's Hector Sants passes the buck for financial crisis Posted: 14 Feb 2012 09:28 AM PST    |
| Blog Post: substructural: Behavioral Finance and Sentiment/Tone Mining Posted: 14 Feb 2012 08:32 AM PST There are two prominent claims about the stock market: one is that machines are driving the entire market these days. The other is that behavioral finance works and even sentiment-based trading can produce excess profits.read more... Visit MoneyScience for the Complete Article.    |
| Cass and the British Council of Shopping Centres link up to deliver executive masterclasses Posted: 14 Feb 2012 07:59 AM PST Programme developed as industry faces 'challenging market' Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 06:43 AM PST BusinessSchools: Fascinating: Analysis of Newly Submitted Preprints at arXiv: Article Downloads, Twitter Mentions, Citations - http://t.co/LqEBGfww #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 06:31 AM PST moneyscience: Fascinating: Analysis of Newly Submitted Preprints at arXiv: Article Downloads, Twitter Mentions, Citations - http://t.co/eoJxHYjT #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 06:30 AM PST fin_tech: Fascinating: Analysis of Newly Submitted Preprints at arXiv: Article Downloads, Twitter Mentions, Citations - http://t.co/iKI0NXSc #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 06:08 AM PST BusinessSchools: Revisted: Free Access to Research by IAFE/Sungard Financial Engineer of the Year Robert Engle - http://t.co/oD3gqjUm @tandf_economics Visit MoneyScience for the Complete Article.    |
| Blog Post: mathfinance: Stochastic Volatility Models and the Pricing of VIX Options Posted: 14 Feb 2012 06:07 AM PST Stochastic Volatility Models and the Pricing of VIX Options is written by Joanna Goard, Mathew Mazur and published in Mathematical Finance. It examines and compares the performance of several volatility models to estimate the VIX, a measure of the implied volatility of S&P 500 index options. You can get access to the paper here.An accurate estimation of VIX is obviously important given its... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Feb 2012 04:56 AM PST fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @wallstreettech @fincad @xignite @mfdvbrokers Visit MoneyScience for the Complete Article.    |
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