MoneyScience News |
- Published / Preprint: Rollover Risk and Credit Risk
- Published / Preprint: Are Stocks Really Less Volatile in the Long Run?
- Published / Preprint: The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium
- Published / Preprint: Hedge Funds and Chapter 11
- Published / Preprint: Don't Believe the Hype: Local Media Slant, Local Advertising, and Firm Value
- Published / Preprint: Selective Publicity and Stock Prices
- Published / Preprint: Individual Investor Trading and Return Patterns around Earnings Announcements
- Published / Preprint: Carry Trades and Global Foreign Exchange Volatility
- Published / Preprint: A Simple Way to Estimate BidâAsk Spreads from Daily High and Low Prices
- Published / Preprint: Share Issuance and Factor Timing
- Published / Preprint: MISCELLANEA
- Published / Preprint: Executive Summaries
- Published / Preprint: Financial Markets and Economic Growth*
- Published / Preprint: A Look Back at Merton Miller's âFinancial Markets and Economic Growthâ
- Published / Preprint: Liquidity, the Value of the Firm, and Corporate Finance*
- Published / Preprint: Getting the Right Mix of Capital and Cash Requirements in Prudential Bank Regulation*
- Published / Preprint: CARE/CEASA Roundtable on: Liquidity and Capital Management
- Published / Preprint: Statement of the Financial Economists Roundtable: How to Manage and Help to Avoid Systemic Liquidity Risk
- Published / Preprint: Clearing and Collateral Mandates: A New Liquidity Trap?
- Fine wine investors lose millions http://t.co/eeenm4lY #tcm
- RT @QFINANCEnews: April Economic Overview http://t.co/CraUr7oN
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @utexasmccombs @warwickbschool @esadeexed
- Blog Post: TheMonetaryFuture: Another Market Not Available to U.S. Citizens
- Blog Post: EconometricsBeat: Count Data & the Hermite Distribution
- MoneyScience in its most literal sense: Electro-Chemical Arbitrage - http://t.co/hZj8KYjs #tcm
- Understanding the Securitization of Subprime Mortgage Credit - http://t.co/AsCNbVjF #tcm
- 100 Questions on Finance - http://t.co/uIgHkEQu #tcm
- Blog Post: TheReformedBroker: Best of TRB 2012 (so far)
- Research Library: An FDA for Financial Innovation: Applying the Insurable Interest Doctrine to 21st Century Financial Markets
- Blog Post: FinanceClippings: CDOs, cows and financial engineering.
- Blog Post: MusingsonMarkets: Google splits its stock and spits on its stockholders
- Blog Post: FINalternatives: SEC Filings Shine Light On Leverage
- Blog Post: WealthandCapitalMarketsBlog: European Corporates: Tab into the US or Asian Investor Pools
- Blog Post: TimingLogic: The End Is Drawing Nearer For Soviet Amerika's State-Based Corporations
- Blog Post: Falkenblog: Mother of all Metaphors Still Informs
- Blog Post: mathfinance: Good Strategy Bad Strategy Week in Review 130412
- Blog Post: HighFrequencyTradingReview: Nasdaq Proposes Issuers Pay Market Makers in Less-Active ETFs [Bloomberg]
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @automatedtrader @tradetech @interxion @nagtalk
- Blog Post: QFINANCE: April Economic Overview
| Published / Preprint: Rollover Risk and Credit Risk Posted: 14 Apr 2012 03:33 AM 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... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Are Stocks Really Less Volatile in the Long Run? Posted: 14 Apr 2012 03:33 AM 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... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium Posted: 14 Apr 2012 03:33 AM PDT ABSTRACTRational theories of the closedâ€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 closedâ€hedge fund premium... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Hedge Funds and Chapter 11 Posted: 14 Apr 2012 03:33 AM 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... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Don't Believe the Hype: Local Media Slant, Local Advertising, and Firm Value Posted: 14 Apr 2012 03:33 AM 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... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Selective Publicity and Stock Prices Posted: 14 Apr 2012 03:33 AM 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... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Individual Investor Trading and Return Patterns around Earnings Announcements Posted: 14 Apr 2012 03:33 AM 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... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Carry Trades and Global Foreign Exchange Volatility Posted: 14 Apr 2012 03:33 AM 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, soâ€called “carry trades.†We find that high interest rate currencies are negatively related to innovations in global FX volatility, and thus... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Simple Way to Estimate BidâAsk Spreads from Daily High and Low Prices Posted: 14 Apr 2012 03:33 AM PDT ABSTRACTWe develop a bidâ€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 bidâ€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... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Share Issuance and Factor Timing Posted: 14 Apr 2012 03:33 AM PDT ABSTRACTWe show that characteristics of stock issuers can be used to forecast important common factors in stocks' returns such as those associated with bookâ€toâ€market, size, and industry. Specifically, we use differences between the attributes of stock issuers and repurchasers to forecast characteristicâ€related factor returns. For example, we show that large firms underperform after years... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: MISCELLANEA Posted: 14 Apr 2012 03:33 AM PDT    |
| Published / Preprint: Executive Summaries Posted: 14 Apr 2012 03:33 AM PDT    |
| Published / Preprint: Financial Markets and Economic Growth* Posted: 14 Apr 2012 03:33 AM PDT In this reprinting of the Nobel Prizeâ€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 wellâ€developed capital markets and... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2012 03:33 AM 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 financeâ€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 moralâ€hazard... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Liquidity, the Value of the Firm, and Corporate Finance* Posted: 14 Apr 2012 03:33 AM 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... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2012 03:32 AM 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... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: CARE/CEASA Roundtable on: Liquidity and Capital Management Posted: 14 Apr 2012 03:32 AM 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... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2012 03:32 AM 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 marketâ€wide and institutionâ€specific liquidity problems exposed by the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Clearing and Collateral Mandates: A New Liquidity Trap? Posted: 14 Apr 2012 03:32 AM PDT All too often, legislative solutions to some financial crisis have serious consequences that are both unwanted and unintended. The author of this article foresees several possible negative consequences arising from Title VII of the Doddâ€Frank Act, which mandates that eligible derivatives be cleared through central counterparties (CCPs) that require initial and variation margin. The new... Visit MoneyScience for the Complete Article.    |
| Fine wine investors lose millions http://t.co/eeenm4lY #tcm Posted: 14 Apr 2012 02:10 AM PDT moneyscience: Fine wine investors lose millions http://t.co/eeenm4lY #tcm Visit MoneyScience for the Complete Article.    |
| RT @QFINANCEnews: April Economic Overview http://t.co/CraUr7oN Posted: 14 Apr 2012 01:08 AM PDT moneyscience: RT @QFINANCEnews: April Economic Overview http://t.co/CraUr7oN Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2012 12:26 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @utexasmccombs @warwickbschool @esadeexed Visit MoneyScience for the Complete Article.    |
| Blog Post: TheMonetaryFuture: Another Market Not Available to U.S. Citizens Posted: 14 Apr 2012 12:10 AM PDT By Jon Matonis Forbes Monday, April 9, 2012 http://www.forbes.com/sites/jonmatonis/2012/04/09/another-market-not-available-to-u-s-citizens/ I find this incredible. U.S. citizens blocked out a market that the rest of the developed world has access to. Of course, I am speaking about the CFD market. CFD stands for "contract for difference" and it is a marketplace where regular people can trade... Visit MoneyScience for the Complete Article.    |
| Blog Post: EconometricsBeat: Count Data & the Hermite Distribution Posted: 13 Apr 2012 01:55 PM PDT One of the limitations of the usual discrete distributions that we use when modeling "count data" is that they can't allow for multi-modality (except in a trivial manner). So, there's no use in trying to model multi-modal data using a Poisson regression model, or a Negative Binomial regression model, for example. However, such data occur frequently in practice. So, what options are... Visit MoneyScience for the Complete Article.    |
| MoneyScience in its most literal sense: Electro-Chemical Arbitrage - http://t.co/hZj8KYjs #tcm Posted: 13 Apr 2012 01:31 PM PDT moneyscience: MoneyScience in its most literal sense: Electro-Chemical Arbitrage - http://t.co/hZj8KYjs #tcm Visit MoneyScience for the Complete Article.    |
| Understanding the Securitization of Subprime Mortgage Credit - http://t.co/AsCNbVjF #tcm Posted: 13 Apr 2012 01:31 PM PDT moneyscience: Understanding the Securitization of Subprime Mortgage Credit - http://t.co/AsCNbVjF #tcm Visit MoneyScience for the Complete Article.    |
| 100 Questions on Finance - http://t.co/uIgHkEQu #tcm Posted: 13 Apr 2012 01:31 PM PDT moneyscience: 100 Questions on Finance - http://t.co/uIgHkEQu #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: Best of TRB 2012 (so far) Posted: 13 Apr 2012 11:50 AM PDT Diggin' in the crates Visit MoneyScience for the Complete Article.    |
| Posted: 13 Apr 2012 09:36 AM PDT Eric A. Posner University of Chicago - Law School E. Glen Weyl University of Chicago; University of Toulouse 1 - Toulouse School of Economics Northwestern University Law Review, Vol. 107, Forthcoming University of Chicago Institute for Law & Economics Olin Research Paper No. 589 Abstract The financial crisis of 2008 was caused in part by speculative investment in complex derivatives. In... Visit MoneyScience for the Complete Article.    |
| Blog Post: FinanceClippings: CDOs, cows and financial engineering. Posted: 13 Apr 2012 09:33 AM PDT In my MBA class this week, we talked about CDOs and how they were used to bundle sub prime tranches of mortgage backed securities into AAA rated securities because, it was argued, the risks in the tranches were uncorrelated. This Dilbert cartoon explains the concept beautifully. Visit MoneyScience for the Complete Article.    |
| Blog Post: MusingsonMarkets: Google splits its stock and spits on its stockholders Posted: 13 Apr 2012 09:23 AM PDT I have talked about Google in prior posts on its voting share structure and the increasing cost it is paying for maintaining growth. Well, the company had a big news day yesterday, starting with an impressive earnings report (earnings growth of 60% & revenue growth of 24%) and ending with an announcement that they would be splitting their stock, with a twist. I will focus on the stock split... Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: SEC Filings Shine Light On Leverage Posted: 13 Apr 2012 08:40 AM PDT Leverage is said to be down across the hedge fund industry, but it's still fairly prevalent at the world's biggest firms, according to new data submitted to the Securities and Exchange Commission.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: European Corporates: Tab into the US or Asian Investor Pools Posted: 13 Apr 2012 08:13 AM PDT European corporates have found a new way to finance themselves: issuing bonds on regulated markets. Indeed it is reported that during the first quarter of 2012 European Corporate Bond Issues have over-passed European Bank loans.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: The End Is Drawing Nearer For Soviet Amerika's State-Based Corporations Posted: 13 Apr 2012 07:50 AM PDT “The great corporations which we have grown to speak of rather loosely as trusts are the creatures of the State and the State not only has the right to control them, but it is in duty bound to control them wherever the need of such control is shown. There is clearly need of supervisionâ€"need to possess the power of regulation of these great corporations through the representatives of the... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Mother of all Metaphors Still Informs Posted: 13 Apr 2012 06:13 AM PDT Writing about regulations related to the failure of the Titanic, Chris Berg makes an important point:This is a distressingly common problem. Governments find it easy to implement regulations but tedious to maintain existing onesâ€"politicians gain little political benefit from updating old laws, only from introducing new laws.And regulated entities tend to comply with the specifics of the... Visit MoneyScience for the Complete Article.    |
| Blog Post: mathfinance: Good Strategy Bad Strategy Week in Review 130412 Posted: 13 Apr 2012 06:06 AM PDT RExcel: call R in Excel.Speed up your R code using a just-in-time (JIT) compiler: A simple trick to speed up your R code.Assessing Models of Individual Equity Option Prices: This article investigates option models in the encompassing class of stochastic volatility, return-jumps, and volatility-jumps.Good Strategy Bad Strategy: The Difference and Why It Matters: The author describes what strategy... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Apr 2012 06:01 AM PDT By Nina Mehtaread more... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Apr 2012 05:54 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @automatedtrader @tradetech @interxion @nagtalk Visit MoneyScience for the Complete Article.    |
| Blog Post: QFINANCE: April Economic Overview Posted: 13 Apr 2012 05:34 AM PDT    |
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