MoneyScience News |
- The Financial Education Daily is out! http://t.co/TYluKzUv
- Blog Post: TheAlephBlog: We Eat Dollar Weighted Returns ' V
- RT @QFINANCEnews: Hong Kong holds aces as London tries to become offshore RMB trading hub http://t.co/MvP5ofLS
- Blog Post: Falkenblog: Utilities and Low Vol
- Published / Preprint: Coupled effects of market impact and asymmetric sensitivity in financial markets. (arXiv:1209.3399v1 [q-fin.TR])
- Published / Preprint: Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging. (arXiv:1209.3503v1 [q-fin.PR])
- Published / Preprint: A Continuous Time Structural Model for Insolvency, Recovery, and Rollover Risks. (arXiv:1209.3513v1 [q-fin.RM])
- Published / Preprint: Spectral Risk Measures, With Adaptions For Stochastic Optimization. (arXiv:1209.3570v1 [math.ST])
- Published / Preprint: American Step-Up and Step-Down Default Swaps under Levy Models. (arXiv:1012.3234v4 [q-fin.PR] UPDATED)
- Blog Post: TheFinancialServicesClub: Banks biggest opportunities lie in emerging markets
- Published / Preprint: Cover
- Published / Preprint: Editorial Board
- Published / Preprint: Volume 25 Number 10 October 2012 * The Review of Financial Studies - Table of Contents
- Published / Preprint: Do Investors Buy What They Know? Product Market Choices and Investment Decisions
- Published / Preprint: A Market-Based Study of the Cost of Default
- Published / Preprint: Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
- Published / Preprint: Can Rare Events Explain the Equity Premium Puzzle?
- Published / Preprint: Convertibles and Hedge Funds as Distributors of Equity Exposure
- Published / Preprint: Measuring Equity Risk with Option-implied Correlations
- Published / Preprint: Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @StanleyEpstein @SASsoftware @finteligent
| The Financial Education Daily is out! http://t.co/TYluKzUv Posted: 18 Sep 2012 12:20 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: We Eat Dollar Weighted Returns ' V Posted: 17 Sep 2012 10:34 PM PDT This is the first episode of “We Eat Dollar Weighted Returns” where the fare is yummy. Here’s the twist: investors in some bond ETFs have done better than one who bought at the beginning and held.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Sep 2012 08:23 PM PDT moneyscience: RT @QFINANCEnews: Hong Kong holds aces as London tries to become offshore RMB trading hub http://t.co/MvP5ofLS Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Utilities and Low Vol Posted: 17 Sep 2012 06:45 PM PDT I spoke with Ben Levinsohn last week, as he's a pretty good guy for the WSJ who writes about low vol on occasion. He took this snippet out of our conversation:"If you want low volatility, you should get utilities and not worry about it," says Eric Falkenstein Alas, that's not exactly what I meant, though I did say it. What I was trying to say was that while a low volatility strategy has... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Sep 2012 05:30 PM PDT By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors' global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors'... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Sep 2012 05:30 PM PDT We study the problem of optimal pricing and hedging of a European option written on an illiquid asset $Z$ using a set of proxies: a liquid asset $S$, and $N$ liquid European options $P_i$, each written on a liquid asset $Y_i, i=1,N$. We assume that the $S$-hedge is dynamic while the multi-name $Y$-hedge is static. Using the indifference pricing approach with an exponential utility, we derive a... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Sep 2012 05:30 PM PDT We propose a unified structural credit risk model incorporating insolvency, recovery and rollover risks. The firm finances itself mainly by issuing short- and long-term debt. Short-term debt can have either a discrete or a more realistic staggered tenor structure. We show that a unique threshold strategy (i.e., a bank run barrier) exists for short-term creditors to decide when to withdraw their... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Sep 2012 05:30 PM PDT Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involved in addition to quantify the acceptable risk, often in the objective. For this purpose it is important to have an adjusted, adapted and efficient evaluation scheme for the risk measure available. In this article... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Sep 2012 05:30 PM PDT This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the swap position. The pricing problem is formulated under a structural credit risk model based on... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Banks biggest opportunities lie in emerging markets Posted: 17 Sep 2012 07:19 AM PDT I just received a report from the Economist Intelligence Unit (EIU) on new bank models based upon different styles of banking in emerging markets.read more... Visit MoneyScience for the Complete Article.    |
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| Published / Preprint: Editorial Board Posted: 17 Sep 2012 05:50 AM PDT    |
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| Posted: 17 Sep 2012 05:50 AM PDT This article shows that individuals' product market choices influence their investment decisions. Using microdata from the brokerage and automotive industries, we find a strong positive relation between customer relationship, ownership of a company, and size of the ownership stake. Investors are also more likely to purchase and less likely to sell shares of companies they frequent as customers.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Market-Based Study of the Cost of Default Posted: 17 Sep 2012 05:50 AM PDT This article proposes a novel method of extracting the cost of default from the change in the market value of a firm's assets upon default. Using a large sample of firms with observed prices of debt and equity that defaulted over fourteen years, we estimate the cost of default for an average defaulting firm to be 21.7% of the market value of assets. The costs vary from 14.7% for bond... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? Posted: 17 Sep 2012 05:50 AM PDT We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with U.S., European, and Asian bank data. Consistent with bank "specialness," the CATFIN of both large and small banks forecasts macroeconomic declines, whereas a similarly... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Can Rare Events Explain the Equity Premium Puzzle? Posted: 17 Sep 2012 05:50 AM PDT Probably not. First, allowing the probabilities of the states of the economy to differ from their sample frequencies, the consumption-CAPM is still rejected in both U.S. and international data. Second, the recorded world disasters are too small to rationalize the puzzle, unless one assumes that disasters occur every 6–10 years. Third, if the data were generated by the rare events... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Convertibles and Hedge Funds as Distributors of Equity Exposure Posted: 17 Sep 2012 05:50 AM PDT By buying convertibles and shorting the underlying stock, hedge funds distribute equity exposure to well-diversified shareholders. We find that firms with characteristics that make seasoned equity offerings expensive are more likely to issue convertibles to hedge funds. We conclude that hedge funds provide opportunities for firms to issue convertible securities at a lower cost than seasoned... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Measuring Equity Risk with Option-implied Correlations Posted: 17 Sep 2012 05:50 AM PDT We use forward-looking information from option prices to estimate option-implied correlations and to construct an option-implied predictor of factor betas. With our implied market betas, we find a monotonically increasing risk-return relation, not detectable with standard rolling-window betas, with the slope close to the market excess return. Our implied betas confirm a risk-return relation... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Sep 2012 05:50 AM PDT This article investigates the out-of-sample predictability of bond excess returns. We assess the economic value of the forecasting ability of empirical models based on long-term forward interest rates in a dynamic asset allocation strategy. The results show that the information content of forward rates does not generate systematic economic value to investors. Indeed, these models do not... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Sep 2012 05:47 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jds9GCg0 â–¸ Top stories today via @StanleyEpstein @SASsoftware @finteligent Visit MoneyScience for the Complete Article.    |
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