MoneyScience News |
- This time is the same: Using bank performance in '98 to explain bank performance during the financial crisis (pdf) #tcm http://t.co/HZs21wmQ
- Research Library: On the Relative Pricing of long Maturity Index Options and Collateralized Debt Obligations (pdf)
- Research Library: Does Reputation Limit Opportunistic Behavior in the VC Industry? Evidence from Litigation against VCs
- Research Library: Liquidity Cycles and Make/Take Fees in Electronic Markets
- Research Library: Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
- Research Library: Financial Regulation, Financial Globalization, and the Synchronization of Economic Activity
- Research Library: On the High-Frequency Dynamics of Hedge Fund Risk Exposures
- Controlling for the weather: Hedging increases firm value
- RT @IFAonlineUK: Bank issues warning to hedge funds http://t.co/MF6q4KE0
- Research Library: Risk Management and Firm Value: Evidence from Weather Derivatives
- What motivates generosity? Researchers study Muslims, Catholics #tcm http://t.co/wriSn3YD
- Blog Post: TheFinancialServicesClub: Innovating on a sinking ship
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @WarwickBSchool @StanfordBiz
- Blog Post: TheAlephBlog: Book Review: The Decline and Fall of Europe
- Blog Post: Falkenblog: The Fantastic Keynesian Endgame
- Published / Preprint: Statistical foundation of the pairwise interaction model of the stock market. (arXiv:1206.4420v1 [q-fin.ST])
- Published / Preprint: Hedging of game options in discrete markets with transaction costs. (arXiv:1206.4506v1 [q-fin.CP])
- Published / Preprint: Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM. (arXiv:1206.4562v1 [q-fin.PM])
- New research shows population data inaccurate by 6%
- Former banker Gerhard Gribkowsky admits taking $44m in bribes from F1 president Bernie Ecclestone http://t.co/7iGvLgQk
- Blog Post: WealthandCapitalMarketsBlog: ABS in Europe: is there light a the end of the tunnel?
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @automatedtrader @LetsTalkFX_ @IBMGrowthMkts
| Posted: 21 Jun 2012 04:41 AM PDT moneyscience: This time is the same: Using bank performance in '98 to explain bank performance during the financial crisis (pdf) #tcm http://t.co/HZs21wmQ Visit MoneyScience for the Complete Article.      |
| Posted: 21 Jun 2012 04:19 AM PDT Pierre Collin-Dufresne, Robert S. Goldstein, Fan Yang Abstract We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices, and idiosyncratic dynamics from the term structure of credit spreads. We find that all tranches can be well... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 04:07 AM PDT Vladimir Atanasov, Vladimir Ivanov and Kate Litvak Abstract We provide the first systematic analysis of the role of reputation in limiting opportunistic behavior by venture capitalists towards four types of counterparties: entrepreneurs, investors, other VCs, and buyers of VC-backed startups. Using a hand-collected database of lawsuits, we document that more reputable VCs (i.e., VCs that are... Visit MoneyScience for the Complete Article.    |
| Research Library: Liquidity Cycles and Make/Take Fees in Electronic Markets Posted: 21 Jun 2012 04:01 AM PDT Thierry Foucault, Ohad Kadan and Eugene Kandel Abstract We develop a model in which the speed of reaction to trading opportunities is endogenous. Traders face a trade-off between the benefit of being first to seize a profit opportunity and the cost of attention required to be first to seize this opportunity. The model provides an explanation for maker/taker pricing, and has implications... Visit MoneyScience for the Complete Article.    |
| Research Library: Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide Posted: 21 Jun 2012 03:50 AM PDT Vikas Agarwal, Wei Jiang, Yuehua Tang and Baozhong Yang Abstract This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to the Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 03:38 AM PDT Sebnem Kalemli-Ozcan, Elias Papaioannou and Jose-Luis Peydro Abstract We analyze the impact of financial globalization on business cycle synchronization utilizing a proprietary database on banks' international exposure for industrialized countries during 1978--2006. Theory makes ambiguous predictions and identification has been elusive due to lack of bilateral time-varying financial... Visit MoneyScience for the Complete Article.    |
| Research Library: On the High-Frequency Dynamics of Hedge Fund Risk Exposures Posted: 21 Jun 2012 03:31 AM PDT Andrew J. Patton and Tarun Ramadorai Abstract We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We... Visit MoneyScience for the Complete Article.    |
| Controlling for the weather: Hedging increases firm value Posted: 21 Jun 2012 03:17 AM PDT A highly debated topic in corporate finance is whether active risk management policies, such as hedging, affect firm value. New research from the University of Notre Dame and Stanford University shows that active risk management policies lead to an increase in firm value. read more... Visit MoneyScience for the Complete Article.    |
| RT @IFAonlineUK: Bank issues warning to hedge funds http://t.co/MF6q4KE0 Posted: 21 Jun 2012 02:42 AM PDT moneyscience: RT @IFAonlineUK: Bank issues warning to hedge funds http://t.co/MF6q4KE0 Visit MoneyScience for the Complete Article.    |
| Research Library: Risk Management and Firm Value: Evidence from Weather Derivatives Posted: 21 Jun 2012 02:41 AM PDT Francisco Perez-Gonzalez Stanford University; National Bureau of Economic Research (NBER) Hayong Yun University of Notre Dame Abstract This paper examines the impact of financial innovation on firm value, investment, and financing decisions. More specifically, we examine the effect of the introduction of weather derivatives on electric and gas utilities, arguably some of the most... Visit MoneyScience for the Complete Article.    |
| What motivates generosity? Researchers study Muslims, Catholics #tcm http://t.co/wriSn3YD Posted: 21 Jun 2012 02:29 AM PDT moneyscience: What motivates generosity? Researchers study Muslims, Catholics #tcm http://t.co/wriSn3YD Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Innovating on a sinking ship Posted: 21 Jun 2012 12:49 AM PDT I’ve already given some reflections on last week’s innotribe meeting in my write ups of Metro Bank and Fidor Bank.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jun 2012 12:37 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @WarwickBSchool @StanfordBiz Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Book Review: The Decline and Fall of Europe Posted: 20 Jun 2012 11:13 PM PDT read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: The Fantastic Keynesian Endgame Posted: 20 Jun 2012 06:03 PM PDT I really dislike fawning Keynesians because I used to be one when I was a TA for Hyman Minsky back in college (he was a Post-Keynesian). As such I was amored with Keynes, and read many biographies about him. There's no greater ire than that of early infatuations, in part because we feel tricked, and these objects remind us of a naive earlier self that wasted part of our precious... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jun 2012 05:33 PM PDT Financial markets are a classical example of complex systems as they are compound by many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns. Spin glass models have been applied and gave some valuable results but at the price of restrictive assumptions on the market dynamics. Here we show that... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jun 2012 05:33 PM PDT We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view. Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jun 2012 05:33 PM PDT We present conditions under which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicates delegated portfolio management by surmising that positive alphas are illusionary. Specifically, we show that the critical assumption used in Jarrow (2010, pg. 20), to derive the illusionary alpha result, is based on... Visit MoneyScience for the Complete Article.    |
| New research shows population data inaccurate by 6% Posted: 20 Jun 2012 04:08 PM PDT Study examined populations in the six Olympic Boroughs Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jun 2012 12:35 PM PDT BusinessSchools: Former banker Gerhard Gribkowsky admits taking $44m in bribes from F1 president Bernie Ecclestone http://t.co/7iGvLgQk Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: ABS in Europe: is there light a the end of the tunnel? Posted: 20 Jun 2012 06:49 AM PDT The Global ABS conference that took place last week in Brussels is supposed to be the annual gathering of all market players where a lot of the pipeline gets agreed. Apparently this year the focus was not on agreeing deals but on debating regulatory reforms.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jun 2012 05:58 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @automatedtrader @LetsTalkFX_ @IBMGrowthMkts Visit MoneyScience for the Complete Article.    |
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