MoneyScience News |
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @kamakuraco @mfdvbrokers @risk_technology @sungardfs
- Blog Post: FINalternatives: Alix Capital Launches Investable Single-Strategy UCITS Indices
- Blog Post: TalesfromaTradingDesk: FIX Inter-Party Latency (IPL)
- MoneyScience Daily is out! http://t.co/yz3zw0GO : Top stories today via @danprimack @ablemarkets @rjocean @a_biao @moneyscience
- Blog Post: TheReformedBroker: Hot Links: Big Winners
- Blog Post: QFINANCE: Beat the Market with Dividends
- Published / Preprint: Bonds and Options in Exponentially Affine Bond Models
- Blog Post: TheAlephBlog: Individual Investing Can Be Tough, Redux
- 15% early bird discount: Luigi Ballabio Introduces QuantLib Development - London, 21-23rd May, 2012 http://t.co/TMAxJ66N #quant #tcm
- 15% early bird discount: Luigi Ballabio Introduces QuantLib Development - London, 21-23rd May, 2012 http://t.co/4EhoDT89 #quant #tcm
- Blog Post: PsyFiBlog: Have You Been Nudged Today?
- The Financial Education Daily is out! http://t.co/TYlzia3F
- Blog Post: RobertPestonBlog: Greece: Dangerous precedent?
- Eurozone finance ministers reach a deal for a fresh bailout for Greece worth 130bn (£110bn; $170bn) euros http://t.co/tCntYhJM #tcm
- Blog Post: TheFinancialServicesClub: Things worth reading: 21st February 2012
- Blog Post: WealthandCapitalMarketsBlog: Recent Developments in Indian Capital Market
- Blog Post: iMFdirect: IMF Welcomes New Eurozone Understanding on Greece
- Published / Preprint: Cover
- Published / Preprint: Editorial Board
- Published / Preprint: Forthcoming Articles
- Published / Preprint: Table of Contents
- Published / Preprint: Journalists and the Stock Market
- Published / Preprint: Corporate Dividend Policies: Lessons from Private Firms
- Published / Preprint: Optimal Priority Structure, Capital Structure, and Investment
- Published / Preprint: Corporate Liquidity and Capital Structure
- Published / Preprint: Trade Credit Contracts
- Published / Preprint: Financing Constraints and the Cost of Capital: Evidence from the Funding of Corporate Pension Plans
- Published / Preprint: Mutual Fund Tournaments: The Sorting Bias and New Evidence
- Published / Preprint: Tournament Behavior in Hedge Funds: High-water Marks, Fund Liquidation, and Managerial Stake
- Blog Post: EconometricsBeat: Computer Update
- Published / Preprint: Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators. (arXiv:1202.4311v1 [q-fin.ST])
- Published / Preprint: A parsimonious model for intraday European option pricing. (arXiv:1202.4332v1 [q-fin.PR])
- Published / Preprint: Liquidity in Credit Networks: A Little Trust Goes a Long Way. (arXiv:1007.0515v3 [q-fin.TR] UPDATED)
- Blog Post: Falkenblog: Low Vol Commodity Timing Strategy
- Blog Post: AllAboutAlpha: The Volcker Rule: Return of the Fabulous Fab
- Blog Post: FinanceClippings: What economists do
- Blog Post: relmbo: My 3 Rules for Foreign Stock Investing
- Twitter: Can it predict the stock market? @marketpsych thinks so - http://t.co/sRXOXTOR #tcm
- RT @TandF_Economics Following on from Social Media Week, why not read 'Your Call: eBay and Demand for the iPhone... http://t.co/mZarT6bu
- Another firm has jumped on the Twitter sentiment bandwagon; Topsy Labs to release Twitter trading tool this year http://t.co/bKzzxLMi #tcm
- Has anyone heard from these guys recently? Derwent Capital, "The Twitter Hedge Fund" - Video Interview http://t.co/cFoLqBKJ #tcm
- Blog Post: TimingLogic: Equity Market Strength - Real Or A Mirage?
- Published / Preprint: Determinants of Banking System Fragility: A Regional Perspective (CEPR DP8858)
- Published / Preprint: Financial Integration, Specialization, and Systemic Risk (CEPR DP8854)
- Published / Preprint: Sudden Spikes in Global Risk (CEPR DP8853)
| Posted: 21 Feb 2012 04:56 AM PST fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @kamakuraco @mfdvbrokers @risk_technology @sungardfs Visit MoneyScience for the Complete Article.      |
| Blog Post: FINalternatives: Alix Capital Launches Investable Single-Strategy UCITS Indices Posted: 21 Feb 2012 04:55 AM PST Geneva-based Alix Capital has launched a family of investable indices tracking single UCITS hedge fund strategies.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TalesfromaTradingDesk: FIX Inter-Party Latency (IPL) Posted: 21 Feb 2012 04:50 AM PST HFTReview comments that the “Long-awaited standards that will help bring greater transparency to the murky world of sub-second trading are due to be rolled out next month”read more... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Feb 2012 04:44 AM PST moneyscience: MoneyScience Daily is out! http://t.co/yz3zw0GO â–¸ Top stories today via @danprimack @ablemarkets @rjocean @a_biao @moneyscience Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: Hot Links: Big Winners Posted: 21 Feb 2012 04:34 AM PST Your morning financial links, expertly curated. Visit MoneyScience for the Complete Article.    |
| Blog Post: QFINANCE: Beat the Market with Dividends Posted: 21 Feb 2012 02:33 AM PST    |
| Published / Preprint: Bonds and Options in Exponentially Affine Bond Models Posted: 21 Feb 2012 02:30 AM PST Applied Mathematical Finance, Volume 0, Issue 0, Page 1-22, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Individual Investing Can Be Tough, Redux Posted: 21 Feb 2012 01:48 AM PST I have many software robots that scan for responses to what I write. Most come directly to me. Some do not like this one at Seeking Alpha:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Feb 2012 01:44 AM PST moneyscience: 15% early bird discount: Luigi Ballabio Introduces QuantLib Development - London, 21-23rd May, 2012 http://t.co/TMAxJ66N #quant #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 21 Feb 2012 01:11 AM PST fin_tech: 15% early bird discount: Luigi Ballabio Introduces QuantLib Development - London, 21-23rd May, 2012 http://t.co/4EhoDT89 #quant #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: PsyFiBlog: Have You Been Nudged Today? Posted: 21 Feb 2012 12:03 AM PST Quills and Nudges The British Civil Service is not a body known for radical change; it’s never quite got over having to give up the quill pen and tends to view with suspicion newfangled ideas like computers and women in the workplace. Despite this it’s currently at the heart of a large scale experiment on the use of techniques from behavioral science, aka, “nudge†theory. Sitting at the... Visit MoneyScience for the Complete Article.    |
| The Financial Education Daily is out! http://t.co/TYlzia3F Posted: 20 Feb 2012 11:35 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F Visit MoneyScience for the Complete Article.    |
| Blog Post: RobertPestonBlog: Greece: Dangerous precedent? Posted: 20 Feb 2012 11:35 PM PST I am on my way to Rome to talk to a taxi driver about the eurozone crisis.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Feb 2012 10:55 PM PST moneyscience: Eurozone finance ministers reach a deal for a fresh bailout for Greece worth 130bn (£110bn; $170bn) euros http://t.co/tCntYhJM #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Things worth reading: 21st February 2012 Posted: 20 Feb 2012 10:39 PM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Recent Developments in Indian Capital Market Posted: 20 Feb 2012 10:30 PM PST India’s Multi Commodity Exchange (MCX) is going for IPO starting tomorrow (22nd February). This development touches on a range of issues pertaining to the Indian capital market and regulations that Celent has been discussing for some time.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: IMF Welcomes New Eurozone Understanding on Greece Posted: 20 Feb 2012 09:36 PM PST The IMF has welcomed the agreement by Eurozone finance minister on a new support package for Greece.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Feb 2012 09:23 PM PST    |
| Published / Preprint: Editorial Board Posted: 20 Feb 2012 09:23 PM PST    |
| Published / Preprint: Forthcoming Articles Posted: 20 Feb 2012 09:23 PM PST    |
| Published / Preprint: Table of Contents Posted: 20 Feb 2012 09:23 PM PST    |
| Published / Preprint: Journalists and the Stock Market Posted: 20 Feb 2012 09:23 PM PST We use exogenous scheduling of Wall Street Journal columnists to identify a causal relation between financial reporting and stock market performance. To measure the media's unconditional effect, we add columnist fixed effects to a daily regression of excess Dow Jones Industrial Average returns. Relative to standard control variables, these fixed effects increase the R2 by about 35%, indicating... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Corporate Dividend Policies: Lessons from Private Firms Posted: 20 Feb 2012 09:23 PM PST We compare the dividend policies of publicly and privately held firms in order to help identify the forces shaping corporate dividends, and shed light on the behavior of privately held companies. We show that private firms smooth dividends significantly less than their public counterparts, suggesting that the scrutiny of public capital markets plays a central role in the propensity of firms to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal Priority Structure, Capital Structure, and Investment Posted: 20 Feb 2012 09:23 PM PST We study the interaction between financing and investment decisions in a dynamic model, where the firm has multiple debt issues and equityholders choose the timing of investment. Jointly optimal capital and priority structures can virtually eliminate investment distortions because debt priority serves as a dynamically optimal contract. Examining the relative efficiency of priority rules observed... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Corporate Liquidity and Capital Structure Posted: 20 Feb 2012 09:23 PM PST We solve for a firm's optimal cash holding policy within a continuous time, contingent claims framework using dividends, short-term borrowing, and equity issues as controls assuming mean reversion of earnings. Optimal cash is non-monotone in business conditions and increasing in the level of long-term debt. The model matches closely a wide range of empirical benchmarks and predicts cash and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Trade Credit Contracts Posted: 20 Feb 2012 09:23 PM PST We employ a novel data set on almost 30,000 trade credit contracts to describe the broad characteristics of the parties that contract together and the key terms of these contracts. Whereas prior work has typically used information on only one side of the buyer-seller transaction, we utilize information on both, allowing for the first analysis of buyer-seller pairs. An equally important... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Feb 2012 09:23 PM PST We investigate the relation between firms' weighted average cost of capital and internal financial resources, using mandatory pension contributions as a proxy for internal financial resources. Rauh (2006) documents a negative association between mandatory pension contributions and capital expenditures. We find that an increase in mandatory pension contributions increases the cost of capital, but... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Mutual Fund Tournaments: The Sorting Bias and New Evidence Posted: 20 Feb 2012 09:23 PM PST Previous findings regarding the risk-shifting behavior of mid-year underperforming mutual fund managers are mixed. In this article, I show that this is due to a "sorting bias," which is caused by the sorting of first-half risk levels when establishing relative mid-year performance. Even without risk-shifting behavior, mean reversion of these sorted risk levels results in the detection of... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Feb 2012 09:23 PM PST We analyze whether risk shifting by a hedge fund manager is related to the manager's incentive contract, personal capital stake, and the risk of fund closure. We find that the propensity to increase risk following poor performance is significantly weaker when incentive pay is tied to the fund's high-water mark and when funds face little immediate risk of liquidation. Risk shifting is also less... Visit MoneyScience for the Complete Article.    |
| Blog Post: EconometricsBeat: Computer Update Posted: 20 Feb 2012 08:16 PM PST Now, this is really scary!!! (Even for nostalgia buffs.) © 2012, David E. Giles Visit MoneyScience for the Complete Article.    |
| Posted: 20 Feb 2012 05:32 PM PST Comparative statistical properties of Parkinson, Garman-Klass, Roger-Satchell and bridge oscillation estimators are discussed. Point and interval estimations, related with mentioned estimators are considered Visit MoneyScience for the Complete Article.    |
| Posted: 20 Feb 2012 05:32 PM PST A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A complete derivation of this result is presented by means of elementary probabilistic tools. Visit MoneyScience for the Complete Article.    |
| Posted: 20 Feb 2012 05:32 PM PST Credit networks represent a way of modeling trust between entities in a network. Nodes in the network print their own currency and trust each other for a certain amount of each other's currency. This allows the network to serve as a decentralized payment infrastructure---arbitrary payments can be routed through the network by passing IOUs between trusting nodes in their... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Low Vol Commodity Timing Strategy Posted: 20 Feb 2012 05:03 PM PST Perez, Fuertes, and Miffre present a paper highlighting that lower volatility is associated with higher returns in general. Looking at he 1992-2011 period, the commodity futures with low volatility outperformed those with high volatility by 4.6%. The effects appears independent of momentum and contango/backwardization effects.I doubt this finding is truly a good investment strategy because... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: The Volcker Rule: Return of the Fabulous Fab Posted: 20 Feb 2012 04:36 PM PST Because of the furor over ABACUS and analogous transactions, the legislative mandate of the Volcker rule came to include a section 619, telling the SEC to ban underwriters or sponsors of asset-backed securities from engaging “in any transaction that would involve or result in any material conflict of interest with respect to any investor in a transaction arising out of such activity.†On... Visit MoneyScience for the Complete Article.    |
| Blog Post: FinanceClippings: What economists do Posted: 20 Feb 2012 04:06 PM PST Greg Mankiw with a graphic of the current internet viral meme... The first one reminds me of when my son and his friend came to my office one day. They'd visited his friend's dad's office (who is an architect) and presumably seen lots of drawings and models. When they came to my office, the first question was "So where's all the money then?" Visit MoneyScience for the Complete Article.    |
| Blog Post: relmbo: My 3 Rules for Foreign Stock Investing Posted: 20 Feb 2012 01:26 PM PST My 3 rules for foreign equity investing:Do not hedge the foreign currency exposure.Index most (or all) of your foreign equity.Allocate no more than 10-20% of your portfolio to foreign equity.The link below will take you to a report with a TON of very useful information. CREDIT SUISSE GLOBAL INVESTMENT RETURNS YEARBOOK 2012I will focus on just one important finding in the report above that is... Visit MoneyScience for the Complete Article.    |
| Twitter: Can it predict the stock market? @marketpsych thinks so - http://t.co/sRXOXTOR #tcm Posted: 20 Feb 2012 01:22 PM PST moneyscience: Twitter: Can it predict the stock market? @marketpsych thinks so - http://t.co/sRXOXTOR #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 20 Feb 2012 01:22 PM PST moneyscience: RT @TandF_Economics Following on from Social Media Week, why not read ‘Your Call: eBay and Demand for the iPhone... http://t.co/mZarT6bu Visit MoneyScience for the Complete Article.    |
| Posted: 20 Feb 2012 12:55 PM PST moneyscience: Another firm has jumped on the Twitter sentiment bandwagon; Topsy Labs to release Twitter trading tool this year http://t.co/bKzzxLMi #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 20 Feb 2012 12:55 PM PST moneyscience: Has anyone heard from these guys recently? Derwent Capital, "The Twitter Hedge Fund" - Video Interview http://t.co/cFoLqBKJ #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: Equity Market Strength - Real Or A Mirage? Posted: 20 Feb 2012 09:25 AM PST I have shown my unmanipulated advance-decline data numerous times on here. It is a simple but accurate predictor of pricing action. It has never been wrong regarding future pricing action. I am well aware the day could come when it fails but I tend to be dubious given the method through which it is constructed. That said, nothing is perfect. I don't believe I have... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Determinants of Banking System Fragility: A Regional Perspective (CEPR DP8858) Posted: 20 Feb 2012 05:50 AM PST Determinants of Banking System Fragility: A Regional Perspective Author(s): Hans Degryse, Muhammad Ather Elahi, Maria Fabiana Penas CEPR Discussion Paper Number 8858 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 23/02/2012 Keyword(s): banking system stability, cross-regional contagion,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Financial Integration, Specialization, and Systemic Risk (CEPR DP8854) Posted: 20 Feb 2012 05:50 AM PST Financial Integration, Specialization, and Systemic Risk Author(s): Falko Fecht, Hans Peter Grüner, Philipp Hartmann CEPR Discussion Paper Number 8854 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), International Macroeconomics (IM) Date of Publication: 23/02/2012 Keyword(s): financial contagion, Financial... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Sudden Spikes in Global Risk (CEPR DP8853) Posted: 20 Feb 2012 05:50 AM PST Sudden Spikes in Global Risk Author(s): Philippe Bacchetta, Eric van Wincoop CEPR Discussion Paper Number 8853 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), International Macroeconomics (IM) Date of Publication: 23/02/2012 Keyword(s): contagion, international finance JEL(s): F30, G15 Abstract: Recent episodes... Visit MoneyScience for the Complete Article.    |
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