MoneyScience News |
- Published / Preprint: Short-Selling Bans Around the World: Evidence from the 2007â09 Crisis
- Published / Preprint: Liquidity Cycles and Make/Take Fees in Electronic Markets
- Published / Preprint: Capital Budgeting versus Market Timing: An Evaluation Using Demographics
- Published / Preprint: Conflicting Family Values in Mutual Fund Families
- Published / Preprint: Dynamic Competition, Valuation, and Merger Activity
- Published / Preprint: Ex Ante Skewness and Expected Stock Returns
- Published / Preprint: Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns
- Published / Preprint: Efficient Recapitalization
- The Financial Education Daily is out! http://t.co/mgDaff68 ⸠Top stories today via @ESADENews @ricemba @IAE_Austral
- Published / Preprint: Modeling Financial Volatility in the Presence of Abrupt Changes. (arXiv:1212.6016v1 [q-fin.ST])
- MoneyScience Daily is out! http://t.co/aGkJAVQE : Top stories today via @EmanuelDerman
- Call for Papers: Conference on Currency Trading and Risk Premia - Oxford Man Institute of #Quant Finance @OxManInst http://t.co/1T1lMioi
| Published / Preprint: Short-Selling Bans Around the World: Evidence from the 2007â09 Crisis Posted: 27 Dec 2012 03:04 AM PST Most regulators around the world reacted to the 2007â€"09 crisis by imposing bans on short selling. These were imposed and lifted at different dates in different countries, often targeted different sets of stocks, and featured varying degrees of stringency. We exploit this variation in short-sales regimes to identify their effects on liquidity, price discovery, and stock prices. Using panel and... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Liquidity Cycles and Make/Take Fees in Electronic Markets Posted: 27 Dec 2012 03:04 AM PST 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 for the effects of algorithmic trading on liquidity, volume, and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Capital Budgeting versus Market Timing: An Evaluation Using Demographics Posted: 27 Dec 2012 03:04 AM PST Using demand shifts induced by demographics, we evaluate capital budgeting and market timing. Capital budgeting implies that industries anticipating positive demand shifts in the near future should issue more equity to finance greater capacity. To the extent that demand shifts in the distant future are not incorporated into equity prices, market timing implies that industries anticipating... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Conflicting Family Values in Mutual Fund Families Posted: 27 Dec 2012 03:04 AM PST We analyze the investment behavior of affiliated funds of mutual funds (AFoMFs), which are mutual funds that can only invest in other funds in the family, and are offered by most large families. Though never mentioned in any prospectus, we discover that AFoMFs provide an insurance pool against temporary liquidity shocks to other funds in the family. We show that, though the family benefits... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dynamic Competition, Valuation, and Merger Activity Posted: 27 Dec 2012 03:04 AM PST We model the interactions between product market competition and investment valuation within a dynamic oligopoly. To our knowledge, the model is the first continuous-time corporate finance model in a multiple firm setting with heterogeneous products. The model is tractable and amenable to estimation. We use it to relate current industry characteristics with firm value and financial decisions.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Ex Ante Skewness and Expected Stock Returns Posted: 27 Dec 2012 03:04 AM PST We use option prices to estimate ex ante higher moments of the underlying individual securities’ risk-neutral returns distribution. We find that individual securities’ risk-neutral volatility, skewness, and kurtosis are strongly related to future returns. Specifically, we find a negative (positive) relation between ex ante volatility (kurtosis) and subsequent returns in the cross-section, and... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Dec 2012 03:04 AM PST Human capital is one of the largest assets in the economy and in theory may play an important role for asset pricing. Human capital is heterogeneous across investors. One source of heterogeneity is industry affiliation. I show that the cross-section of expected stock returns is primarily affected by industry-level rather than aggregate labor income risk. Furthermore, when human capital is... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Efficient Recapitalization Posted: 27 Dec 2012 02:45 AM PST We analyze government interventions to recapitalize a banking sector that restricts lending to firms because of debt overhang. We find that the efficient recapitalization program injects capital against preferred stock plus warrants and conditions implementation on sufficient bank participation. Preferred stock plus warrants reduces opportunistic participation by banks that do not require... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Dec 2012 11:27 PM PST BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â–¸ Top stories today via @ESADENews @ricemba @IAE_Austral Visit MoneyScience for the Complete Article.    |
| Posted: 26 Dec 2012 05:32 PM PST The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive days, creating temporal clusters. The GARCH model, which treats volatility as a drift process, is commonly used to capture this behavior. However research... Visit MoneyScience for the Complete Article.    |
| MoneyScience Daily is out! http://t.co/aGkJAVQE : Top stories today via @EmanuelDerman Posted: 26 Dec 2012 07:40 AM PST moneyscience: MoneyScience Daily is out! http://t.co/aGkJAVQE â–¸ Top stories today via @EmanuelDerman Visit MoneyScience for the Complete Article.    |
| Posted: 24 Oct 2012 05:48 AM PDT moneyscience: Call for Papers: Conference on Currency Trading and Risk Premia - Oxford Man Institute of #Quant Finance @OxManInst http://t.co/1T1lMioi 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 | |