MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 17th August 2012
- Video via @ineteconomics - #Modeling the Unmodelable: Imperfect Knowledge and Non-Routine Change #quant http://t.co/ARLnHilU
- Video - Modeling the Unmodelable: Imperfect Knowledge and Non-Routine Change
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @cardiffuni
- Published / Preprint: Cover
- Published / Preprint: Editorial Board
- Published / Preprint: Forthcoming Articles
- Published / Preprint: Volume 25 Number 9 September 2012 * The Review of Financial Studies - Table of Contents
- Published / Preprint: Fiscal Policies and Asset Prices
- Published / Preprint: Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud
- Published / Preprint: Universal Banks and Corporate Control: Evidence from the Global Syndicated Loan Market
- Published / Preprint: Does Idiosyncratic Volatility Proxy for Risk Exposure?
- Published / Preprint: Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
- Published / Preprint: Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach
- Published / Preprint: Decomposition of Optimal Portfolio Weight in a Jump-Diffusion Model and Its Applications
- Blog Post: TheAlephBlog: Using Investment Advice, Part III
- Blog Post: WealthandCapitalMarketsBlog: Innovation is coming to fixed income trading models
- Blog Post: Falkenblog: Dog Days of Summer
- MoneyScience Daily is out! http://t.co/yz3uYqFU : Top stories today via @jimbinder @DerwentCapital @fin_tech
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @nanexllc @coremetrics @JuniperNetworks
- .@Cassinthenews: Cass alumni celebrate reunion after nearly 40 years http://t.co/XtmaAY7L
| Blog Post: TheFinancialServicesClub: Things worth reading: 17th August 2012 Posted: 17 Aug 2012 03:31 AM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Posted: 17 Aug 2012 03:17 AM PDT BusinessSchools: Video via @ineteconomics - #Modeling the Unmodelable: Imperfect Knowledge and Non-Routine Change #quant http://t.co/ARLnHilU Visit MoneyScience for the Complete Article.    |
| Video - Modeling the Unmodelable: Imperfect Knowledge and Non-Routine Change Posted: 17 Aug 2012 02:58 AM PDT Via The Institute for New Economic Thinking series 30 Ways to be an Economist.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Aug 2012 12:23 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv â–¸ Top stories today via @cardiffuni Visit MoneyScience for the Complete Article.    |
| Posted: 16 Aug 2012 11:09 PM PDT    |
| Published / Preprint: Editorial Board Posted: 16 Aug 2012 11:09 PM PDT    |
| Published / Preprint: Forthcoming Articles Posted: 16 Aug 2012 11:09 PM PDT    |
| Posted: 16 Aug 2012 11:09 PM PDT    |
| Published / Preprint: Fiscal Policies and Asset Prices Posted: 16 Aug 2012 11:09 PM PDT The surge in public debt triggered by the financial crisis has raised uncertainty about future tax pressure and economic activity. We examine the asset pricing effects of fiscal policies in a production-based general equilibrium model in which taxation affects corporate decisions by: (1) distorting profits and investment; (2) reducing the cost of debt through a tax shield; and (3) depressing... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Suspicious Patterns in Hedge Fund Returns and the Risk of Fraud Posted: 16 Aug 2012 11:09 PM PDT Recent cases of hedge fund fraud have caused large losses for investors and have fueled the debate regarding the ability of regulators to oversee the industry. This article proposes a set of performance flags, based on suspicious patterns in returns, as indicators of a heightened risk of fraud. We collect a sample of hedge funds charged with legal or regulatory violations and find that funds... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Aug 2012 11:08 PM PDT We investigate the effects of bank control over borrower firms whether by representation on boards of directors or by the holding of shares through bank asset management divisions. Using a large sample of syndicated loans, we find that banks are more likely to act as lead arrangers in loans when they exert some control over the borrower firm. Bank-firm governance links are associated with higher... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Does Idiosyncratic Volatility Proxy for Risk Exposure? Posted: 16 Aug 2012 11:08 PM PDT We decompose aggregate market variance into an average correlation component and an average variance component. Only the latter commands a negative price of risk in the cross section of portfolios sorted by idiosyncratic volatility. Portfolios with high (low) idiosyncratic volatility relative to the Fama-French (1993) model have positive (negative) exposures to innovations in average stock... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Aug 2012 11:08 PM PDT We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas increase on earnings announcement days and revert to their average levels two to five days later. The increase in betas is greater for earnings announcements that have larger positive or negative surprises, convey more information about... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Aug 2012 11:08 PM PDT It is well established that value stocks outperform glamour stocks, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of glamour (value) firms reflect systematically optimistic (pessimistic) expectations; thus, the value/glamour effect should be concentrated (absent) among firms with (without)... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Aug 2012 11:08 PM PDT This article solves the portfolio choice problem in a multi-asset jump-diffusion model. We decompose the optimal portfolio weight into components that correspond to a collection of fictitious economies, one of which is a standard diffusion economy, and the others of which are pure-jump economies. We derive a semi-closed-form solution for the optimal portfolio weight, and investigate its... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Using Investment Advice, Part III Posted: 16 Aug 2012 09:05 PM PDT The next aspect of using investment advice is understanding your own capabilities. It comes down to what you understand, and what you have time for.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Innovation is coming to fixed income trading models Posted: 16 Aug 2012 03:21 PM PDT The economics of fixed income dealing operations is evolving due to market structure changes, emerging regulations and disruptive technologies already in the market and on the horizon. There are a myriad of regulatory drivers and they all have teeth. The Basel III regulation (global) and the Volcker rule (US with global implications) are driving a greater appetite for capital efficiency and... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Dog Days of Summer Posted: 16 Aug 2012 08:24 AM PDT Since 1950, the annualized S&P500 volatility is 15.5%. The one-day annualized volatility for the Aug SPY at-the-money options is 11% (i.e., expiring tomorrow). This is good news for Obama and the stock market. The chart below shows the implied vol in light blue, a 30-day actual trailing vol in white, from 2006-present. Barry Ritholz links to a MarketTech report post that shows that VIX... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Aug 2012 07:56 AM PDT moneyscience: MoneyScience Daily is out! http://t.co/yz3uYqFU â–¸ Top stories today via @jimbinder @DerwentCapital @fin_tech Visit MoneyScience for the Complete Article.    |
| Posted: 16 Aug 2012 05:48 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @nanexllc @coremetrics @JuniperNetworks Visit MoneyScience for the Complete Article.    |
| .@Cassinthenews: Cass alumni celebrate reunion after nearly 40 years http://t.co/XtmaAY7L Posted: 16 Aug 2012 05:30 AM PDT BusinessSchools: .@Cassinthenews: Cass alumni celebrate reunion after nearly 40 years http://t.co/XtmaAY7L Visit MoneyScience for the Complete Article.    |
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