MoneyScience News |
- Blog Post: TheFinancialServicesClub: Regulatory nightmares and technology dreams
- Published / Preprint: BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTSâPART II: CVA
- Published / Preprint: BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTSâPART I: PRICING
- The Financial Education Daily is out! http://t.co/mgDaff68 ⸠Top stories today via @GlasgowUni @chronicle @UTexasMBA
- Published / Preprint: A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
- Published / Preprint: R&D and the Incentives from Merger and Acquisition Activity
- Published / Preprint: The Price of a CEO's Rolodex
- Published / Preprint: New Orders and Asset Prices
- Published / Preprint: Factor-Loading Uncertainty and Expected Returns
- Published / Preprint: Running for the Exit? International Bank Lending During a Financial Crisis
- Blog Post: TheAlephBlog: Post 2000
- Blog Post: Falkenblog: Shorting Green Energy
- Published / Preprint: A Linear Belief Function Approach to Portfolio Evaluation. (arXiv:1212.2473v1 [cs.AI])
- RT @QFINANCEnews: The mystery of Apple's crashing stock price http://t.co/9Y4NR8Kh
- Featured Book: Profiting from Monetary Policy - Investing Through the Business Cycle http://t.co/CXfEK3O5 @PalMacFinance @ThomasAubreyCCA
- Blog Post: iMFdirect: IMF's Christine Lagarde on the U.S. Fiscal Cliff
| Blog Post: TheFinancialServicesClub: Regulatory nightmares and technology dreams Posted: 12 Dec 2012 04:27 AM PST We had the final 2012 plenary meeting of the Financial Services Club Clearing & Settlement Working Group (CAS-WG) yesterday.read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTSâPART II: CVA Posted: 12 Dec 2012 01:54 AM PST The correction in value of an overâ€theâ€counter derivative contract due to counterparty risk under funding constraints is represented as the value of a dividendâ€paying option on the value of the contract clean of counterparty risk and excess funding costs. This representation allows one to analyze the structure of this correction, the soâ€called Credit Valuation Adjustment (CVA for short),... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTSâPART I: PRICING Posted: 12 Dec 2012 01:19 AM PST This and the followâ€up paper deal with the valuation and hedging of bilateral counterparty risk on overâ€theâ€counter derivatives. Our study is done in a multipleâ€curve setup reflecting the various funding constraints (or costs) involved, allowing one to investigate the question of interaction between bilateral counterparty risk and funding. The first task is to define a suitable notion of... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Dec 2012 12:55 AM PST BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â–¸ Top stories today via @GlasgowUni @chronicle @UTexasMBA Visit MoneyScience for the Complete Article.    |
| Posted: 12 Dec 2012 12:14 AM PST We show that bond risk premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a long-run risks model with timevarying volatilities of expected growth and inflation. The model... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: R&D and the Incentives from Merger and Acquisition Activity Posted: 12 Dec 2012 12:14 AM PST We provide a model and empirical tests showing how an active acquisition market affects firm incentives to innovate and conduct R&D. Our model shows that small firms optimally may decide to innovate more when they can sell out to larger firms. Large firms may find it disadvantageous to engage in an "R&D race" with small firms, as they can obtain access to innovation through acquisition.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Price of a CEO's Rolodex Posted: 12 Dec 2012 12:14 AM PST CEOs with large networks earn more than those with small networks. An additional connection to an executive or director outside the firm increases compensation by about $17,000 on average, more so for "important" members, such as CEOs of big firms. Pay-for-connectivity is unrelated to several measures of corporate governance, evidence in favor of an efficient contracting explanation for CEO pay. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: New Orders and Asset Prices Posted: 12 Dec 2012 12:14 AM PST We investigate the asset pricing and macroeconomic implications of the ratio of new orders (NO) to shipments (S) of durable goods. NO/S measures investment commitments by firms, and high values of NO/S are associated with a business cycle peak. We find that NO/S proxies for a short-horizon component of risk premia not identified in prior work. Higher levels of NO/S forecast lower excess returns... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Factor-Loading Uncertainty and Expected Returns Posted: 12 Dec 2012 12:14 AM PST Firm-specific information can affect expected returns if it affects investor uncertainty about risk-factor loadings. We show that a stock's expected return is decreasing in factor-loading uncertainty, controlling for the average level of its factor loading. When loadings are persistent, learning by investors can induce time-series variation in price-dividend ratios, expected returns, and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Running for the Exit? International Bank Lending During a Financial Crisis Posted: 12 Dec 2012 12:14 AM PST We use loan-level data to examine how large international banks reduced their cross-border lending after the collapse of Lehman Brothers. Country, firm, and bank fixed effects allow us to disentangle credit supply and demand and to simultaneously control for the unobserved traits of banks and the countries and firms they lend to. We document substantial heterogeneity in the extent to which... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Post 2000 Posted: 11 Dec 2012 10:45 PM PST This has been a lot of fun. This has been a lot of work. This has been a “labor of love.”read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Shorting Green Energy Posted: 11 Dec 2012 07:19 PM PST A Business Insider post showed the remarkable 98% decline in the RENIXX since 2008, and index that tracks the world´s 30 largest companies in the renewable energy industry.I found a green ETF, GEX,which is Market Vectors Global Alternative Energy fund. It's down about 85% since 2008. Perhaps there's a very simple strategy here. Visit MoneyScience for the Complete Article.    |
| Posted: 11 Dec 2012 05:35 PM PST By elaborating on the notion of linear belief functions (Dempster 1990; Liu 1996), we propose an elementary approach to knowledge representation for expert systems using linear belief functions. We show how to use basic matrices to represent market information and financial knowledge, including complete ignorance, statistical observations, subjective speculations, distributional assumptions,... Visit MoneyScience for the Complete Article.    |
| RT @QFINANCEnews: The mystery of Apple's crashing stock price http://t.co/9Y4NR8Kh Posted: 11 Dec 2012 04:55 PM PST moneyscience: RT @QFINANCEnews: The mystery of Apple's crashing stock price http://t.co/9Y4NR8Kh Visit MoneyScience for the Complete Article.    |
| Posted: 11 Dec 2012 09:03 AM PST BusinessSchools: Featured Book: Profiting from Monetary Policy - Investing Through the Business Cycle http://t.co/CXfEK3O5 @PalMacFinance @ThomasAubreyCCA Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: IMF's Christine Lagarde on the U.S. Fiscal Cliff Posted: 11 Dec 2012 08:35 AM PST by iMFdirectread more... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |