Friday, April 6, 2012

MoneyScience News

MoneyScience News


Published / Preprint: The experiences and challenges in the development of the Chinese capital market

Posted: 06 Apr 2012 02:39 AM PDT

The European Journal of Finance, Volume 0, Issue 0, Page 1-4, Ahead of Print.

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Blog Post: HighFrequencyTradingReview: Beyond Volcker: Seeing the Forest Through the Trees [Advanced Trading]

Posted: 06 Apr 2012 02:34 AM PDT

By Sean Owens read more...

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Gloom, Boom & Doom: The Rich Could Lose Half Their Wealth in Downturn, Says Faber http://t.co/sTwnQ0op #tcm

Posted: 06 Apr 2012 02:31 AM PDT

moneyscience: Gloom, Boom & Doom: The Rich Could Lose Half Their Wealth in Downturn, Says Faber http://t.co/sTwnQ0op #tcm

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More than 50% of all Internet traffic is no longer generated by humans http://t.co/aTb18hmP Are bots taking over? http://t.co/RL9D4xHs #tcm

Posted: 06 Apr 2012 02:31 AM PDT

moneyscience: More than 50% of all Internet traffic is no longer generated by humans http://t.co/aTb18hmP Are bots taking over? http://t.co/RL9D4xHs #tcm

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More than 50% of all Internet traffic is no longer generated by humans http://t.co/Hcxp9em2 Are bots taking over? http://t.co/w4UTLU3D #tcm

Posted: 06 Apr 2012 02:10 AM PDT

fin_tech: More than 50% of all Internet traffic is no longer generated by humans http://t.co/Hcxp9em2 Are bots taking over? http://t.co/w4UTLU3D #tcm

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The Psychology Of Casino Design - http://t.co/eF94vhPK #tcm

Posted: 06 Apr 2012 02:06 AM PDT

moneyscience: The Psychology Of Casino Design - http://t.co/eF94vhPK #tcm

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The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @utexasmccombs @hult_biz

Posted: 06 Apr 2012 12:58 AM PDT

BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @utexasmccombs @hult_biz

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@Cassinthenews: Bob Kelly and Sir Malcolm Williamson address alumni in New York http://t.co/VHrYz3Cu

Posted: 05 Apr 2012 11:50 PM PDT

BusinessSchools: @Cassinthenews: Bob Kelly and Sir Malcolm Williamson address alumni in New York http://t.co/VHrYz3Cu

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Blog Post: mathfinance: Prof Hal White Passed Away Week in Review 020412

Posted: 05 Apr 2012 11:40 PM PDT

Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility: on average, about 99% of the intraday variation of implied volatility can be explained by moneyness and changes in the index level. Compared to the typical smile regression with moneyness alone, about 50% of the remaining errors can be attributed to movements in the underlying index.A Simple Way to Estimate Bid-Ask Spreads...

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Blog Post: Debtwatch: Krugman Apologises!

Posted: 05 Apr 2012 11:39 PM PDT

Sorry, that was a belated April Fool’s joke. He hasn’t, of courseâ€"though there has been an apology of sorts from Nick Rowe, which is duly noted and accepted. The best Krugman could manage is the following update to his original diatribe “Oh My, Steve Keen Edition“: Update update: Ah, so Keen didn’t mean DSGE â€" […] ↓ Read the rest of this entry...

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Published / Preprint: Rollover Risk and Credit Risk

Posted: 05 Apr 2012 11:37 PM PDT

ABSTRACTOur model shows that deterioration in debt market liquidity leads to an increase in not only the liquidity premium of corporate bonds but also credit risk. The latter effect originates from firms’ debt rollover. When liquidity deterioration causes a firm to suffer losses in rolling over its maturing debt, equity holders bear the losses while maturing debt holders are paid in full. This...

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Published / Preprint: Are Stocks Really Less Volatile in the Long Run?

Posted: 05 Apr 2012 11:37 PM PDT

ABSTRACTAccording to conventional wisdom, annualized volatility of stock returns is lower over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an investor’s perspective. This perspective recognizes that parameters are uncertain, even with two centuries of...

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Published / Preprint: The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium

Posted: 05 Apr 2012 11:37 PM PDT

ABSTRACTRational theories of the closed‐end fund premium puzzle highlight fund share and asset illiquidity, managerial ability, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed‐hedge fund premium...

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Published / Preprint: Hedge Funds and Chapter 11

Posted: 05 Apr 2012 11:37 PM PDT

ABSTRACTThis paper studies the presence of hedge funds in the Chapter 11 process and their effects on bankruptcy outcomes. Hedge funds strategically choose positions in the capital structure where their actions could have a bigger impact on value. Their presence, especially as unsecured creditors, helps balance power between the debtor and secured creditors. Their effect on the debtor manifests...

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Published / Preprint: Don't Believe the Hype: Local Media Slant, Local Advertising, and Firm Value

Posted: 05 Apr 2012 11:37 PM PDT

ABSTRACTWhen local media report news about local companies, they use fewer negative words compared to the same media reporting about nonlocal companies. We document that one reason for this positive slant is the firms’ local media advertising expenditures. Abnormal positive local media slant strongly relates to firm equity values. The effect is stronger for small firms; firms held predominantly...

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Published / Preprint: Selective Publicity and Stock Prices

Posted: 05 Apr 2012 11:37 PM PDT

ABSTRACTI examine how media coverage of good and bad corporate news affects stock prices, by studying the effect of investor relations (IR) firms. I find that IR firms “spin” their clients’ news, generating more media coverage of positive press releases than negative press releases. This spin increases announcement returns. Around earnings announcements, however, IR firms cannot spin the...

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Published / Preprint: Individual Investor Trading and Return Patterns around Earnings Announcements

Posted: 05 Apr 2012 11:37 PM PDT

ABSTRACTThis paper provides evidence of informed trading by individual investors around earnings announcements using a unique data set of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after earnings announcement dates. We decompose abnormal returns following the event into information and liquidity...

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Published / Preprint: Carry Trades and Global Foreign Exchange Volatility

Posted: 05 Apr 2012 11:37 PM PDT

ABSTRACTWe investigate the relation between global foreign exchange (FX) volatility risk and the cross section of excess returns arising from popular strategies that borrow in low interest rate currencies and invest in high interest rate currencies, so‐called “carry trades.” We find that high interest rate currencies are negatively related to innovations in global FX volatility, and thus...

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Published / Preprint: A Simple Way to Estimate BidâAsk Spreads from Daily High and Low Prices

Posted: 05 Apr 2012 11:37 PM PDT

ABSTRACTWe develop a bid‐ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the highâ€"low ratio reflects both the stock's variance and its bid‐ask spread. Although the variance component of the highâ€"low ratio is proportional to the return interval, the spread component is not. This allows us to derive a spread estimator...

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Published / Preprint: Share Issuance and Factor Timing

Posted: 05 Apr 2012 11:37 PM PDT

ABSTRACTWe show that characteristics of stock issuers can be used to forecast important common factors in stocks' returns such as those associated with book‐to‐market, size, and industry. Specifically, we use differences between the attributes of stock issuers and repurchasers to forecast characteristic‐related factor returns. For example, we show that large firms underperform after years...

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Published / Preprint: MISCELLANEA

Posted: 05 Apr 2012 11:37 PM PDT

Published / Preprint: A Message from the Editor

Posted: 05 Apr 2012 11:37 PM PDT

Published / Preprint: Executive Summaries

Posted: 05 Apr 2012 11:37 PM PDT

Published / Preprint: Financial Markets and Economic Growth*

Posted: 05 Apr 2012 11:37 PM PDT

In this reprinting of the Nobel Prize‐winning financial economist's classic statement about the origins of financial crises, the Southeast Asian crisis of the late 1990s is attributed “not to too much reliance on financial markets, but to too little.” Like the U.S. economy a century ago, the emerging Asian economies did not thenâ€"and do not nowâ€"have well‐developed capital markets and...

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Published / Preprint: A Look Back at Merton Miller's âFinancial Markets and Economic Growthâ

Posted: 05 Apr 2012 11:37 PM PDT

The author begins by agreeing with Miller's characterization of the fragility of U.S. banks and of the shortcomings of the Asian model of bank finance‐driven growth. The article also expresses “emphatic agreement” with Miller's arguments that the protection of banks through deposit insurance, regulatory forbearance, and other forms of “bailout” have created costly moral‐hazard...

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Published / Preprint: Liquidity, the Value of the Firm, and Corporate Finance*

Posted: 05 Apr 2012 11:37 PM PDT

The theory of corporate finance has been based on the idea that a company's market value is determined mainly by just two variables: the company's expected aftertax operating cash flows or earnings, and the risk associated with producing them. The authors argue that there is another important factor affecting a company's value: the liquidity of its own securities, debt as well as equity. The...

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Published / Preprint: Getting the Right Mix of Capital and Cash Requirements in Prudential Bank Regulation*

Posted: 05 Apr 2012 11:37 PM PDT

Cash reserve requirements are useful as a broadly conceived prudential tool, not just as a narrowly focused means of limiting the risks associated with illiquidity. Indeed, illiquidity risk is neither a necessary nor a sufficient condition for establishing bank liquidity requirements. The primary means of mitigating the systemic costs of bank illiquidity risk is the creation of an effective...

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Published / Preprint: CARE/CEASA Roundtable on: Liquidity and Capital Management

Posted: 05 Apr 2012 11:37 PM PDT

Five distinguished banking and accounting scholars explore the role of liquidity at not only the “macro” level of the economy, but also at the level of individual companies. The first of the four main speakers, who is the author of the preceding article, restates his argument that the stability of financial systems can be increased by directing bank regulators and executives to find the...

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Published / Preprint: Statement of the Financial Economists Roundtable: How to Manage and Help to Avoid Systemic Liquidity Risk

Posted: 05 Apr 2012 11:37 PM PDT

In the summer of 2010, when legislative and regulatory responses were being finalized to address financial institution and market liquidity problems, the Financial Economists Roundtable, a group of prominent financial economists over 50 years old, convened with the aim of developing principles that would address both market‐wide and institution‐specific liquidity problems exposed by the...

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Video: Steve Keen on his Debate with Paul Krugman

Posted: 05 Apr 2012 11:15 PM PDT

I couldn't have got the timing much better. Steve Keen recently joined the MoneyScience Advisory Panel and since then he has been embroiled in an interesting debate with Paul Krugman which has been reported, analysed and commented on just about anywhere you care to look in the blogosphere. read more...

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Blog Post: ThreeToedSloth: On Refereeing a Manuscript for PNAS with Roughly a Hundred Hypothesis Tests

Posted: 05 Apr 2012 10:09 PM PDT

Five percent of the time, the cigar is just blowing smoke. Learned Folly; Enigmas of Chance

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Blog Post: Falkenblog: Newest ETF Gives People What they Want

Posted: 05 Apr 2012 06:51 PM PDT

After much research, Dooker’s team realized that there was a way to crush NAV at an even higher rate. He explained:“Two times leverage was good, which obviously means that four times leverage is better. Prospective investors should be sure to read the prospectus to understand the effect of four times DAILY leverage and how compounded daily leverage is not the same as compounded long term...

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Blog Post: substructural: Probabilistic Counter

Posted: 05 Apr 2012 04:34 PM PDT

The High Scalability blog has a recent post on probabilistic algorithms for approximate counting. The author unfortunately coined the term "linear probabilistic counter", which corresponds to no results if you do a Google search. The more usual terminology is linear counting (a paper from KAIST gives the original definition from 1990) and closely related, approximate counting. The study...

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Blog Post: MoneyManagersLive: Investing In REITs

Posted: 05 Apr 2012 04:13 PM PDT

Forget the new breed of nontraded REITs, says Green Street Advisors Inc. Investors are far more likely to be better off with publicly traded REITs, the research firm said in a report released Wednesday. Regulatory scrutiny has forced sponsors of nontraded REITs to address issues surrounding valuations, illiquidity, high fees, dividend payouts and conflicts, the report said. One crucial change:...

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Blog Post: InstituteforNewEconomicThinking: Erik Berglöf - Crisis in Eastern Europe: The People's Perspective

Posted: 05 Apr 2012 01:32 PM PDT



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Blog Post: TheReformedBroker: Appearance on Fast Money Tonight

Posted: 05 Apr 2012 01:09 PM PDT

Media Appearance Tonight

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Blog Post: FINalternatives: Mixed March Sees Main Paulson Funds Fall

Posted: 05 Apr 2012 10:13 AM PDT

Paulson & Co.'s much-needed promising start to the year sputtered out even before the end of the first quarter.read more...

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Blog Post: TimingLogic: Perceptions Of The Self ' Obamaâs Rhetoric Projected At The Supreme Court. Why Only Law Must Govern Our Economy & Our Nation

Posted: 05 Apr 2012 10:11 AM PDT

I got the idea for this post after talking to someone I know that is a close friend of one of the candidates at Americans Elect.   I think it’s important to appreciate the human condition and why faith in any particular candidate or political party or human-based authority is based on a distorted perception of self and, therefore, a faulty belief system.  And, why laws determined...

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Bob Kelly and Sir Malcolm Williamson address alumni in New York

Posted: 05 Apr 2012 08:04 AM PDT

Cass hosts event at New York's Yacht Club

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Blog Post: QFINANCE: Mario Draghi shows his subtle side

Posted: 05 Apr 2012 06:46 AM PDT

Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @claradan @fstechnology @mfoundry @tobycorballis

Posted: 05 Apr 2012 05:53 AM PDT

fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @claradan @fstechnology @mfoundry @tobycorballis

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