MoneyScience News |
- Published / Preprint: 31Jan/Report on the regulatory consistency of risk-weighted assets for market risk issued by the Basel Committee
- Blog Post: TheFinancialServicesClub: You've been bacefooked
- Blog Post: TheAlephBlog: The Product that Never saw the Light of Day
- Blog Post: Falkenblog: The Libertarian Problem
- Published / Preprint: Markets Evolution After the Credit Crunch. (arXiv:1301.7078v1 [q-fin.PR])
- Published / Preprint: The TIPSâTreasury Bond Puzzle*
- Published / Preprint: A Model of Shadow Banking
- Published / Preprint: Trading Complex Assets
- Published / Preprint: Sentiment During Recessions
- Published / Preprint: Taxes, Theft, and Firm Performance
- Published / Preprint: Financial Regulation, Financial Globalization, and the Synchronization of Economic Activity*
- Published / Preprint: Decentralized Investment Management: Evidence from the Pension Fund Industry
- Published / Preprint: The Evolution of a Financial Crisis: Collapse of the Asset-Backed Commercial Paper Market
- Published / Preprint: Equilibrium Subprime Lending
- Published / Preprint: Value and Momentum Everywhere
- Published / Preprint: Access to Collateral and Corporate Debt Structure: Evidence from a Natural Experiment
- Published / Preprint: State-Level Business Cycles and Local Return Predictability
- Published / Preprint: Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
- Published / Preprint: Do Hostile Takeovers Stifle Innovation? Evidence from Antitakeover Legislation and Corporate Patenting
| Posted: 31 Jan 2013 02:34 AM PST Press release about the Basel Committee issuing "Regulatory consistency assessment programme (RCAP) - Analysis of risk-weighted assets for market risk" (31 January 2013) Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: You've been bacefooked Posted: 31 Jan 2013 01:27 AM PST Building upon the theme that you cannot have privacy, even if you are a cybercriminal or cybersecurity expert, you cannot have privacy if you are a social media aficionado.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: The Product that Never saw the Light of Day Posted: 30 Jan 2013 10:12 PM PST I have never particularly liked individual variable life and annuity products. But one day, I came up with an individual variable annuity product idea. I don’t think it has ever been done. If it has been done, please note it in the comments below.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: The Libertarian Problem Posted: 30 Jan 2013 06:56 PM PST Over at the NYTimes, David Brooks argues a big problem with the Republican party is its libertarian biases:While losing the popular vote in five of the last six presidential elections, the flaws of this mentality have become apparent. First, if opposing government is your primary objective, it’s hard to have a positive governing program. As Bill Kristol pointed out at the National Review... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Markets Evolution After the Credit Crunch. (arXiv:1301.7078v1 [q-fin.PR]) Posted: 30 Jan 2013 05:35 PM PST We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different tenor, such as Libor and OIS. We also discuss a qualitative explanation of these effects based on the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The TIPSâTreasury Bond Puzzle* Posted: 30 Jan 2013 10:03 AM PST We show that the price of a Treasury bond and an inflation-swapped TIPS issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPSâ€"Treasury mispricing has exceeded $56 billion, representing nearly 8% of the total amount of TIPS outstanding. We find direct evidence that the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Model of Shadow Banking Posted: 30 Jan 2013 10:03 AM PST We present a model of shadow banking in which banks originate and trade loans, assemble them into diversified portfolios, and finance these portfolios externally with riskless debt. In this model: outside investor wealth drives the demand for riskless debt and indirectly for securitization, bank assets and leverage move together, banks become interconnected through markets, and banks increase... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Trading Complex Assets Posted: 30 Jan 2013 10:02 AM PST We perform an experimental study to assess the effect of complexity on asset trading. We find that higher complexity leads to increased price volatility, lower liquidity, and decreased trade efficiency especially when repeated bargaining takes place. However, the channel through which complexity acts is not simply due to the added noise induced by estimation error. Rather, complexity alters the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Sentiment During Recessions Posted: 30 Jan 2013 10:02 AM PST This paper studies the effect of sentiment on asset prices during the 20th century (1905 to 2005). As a proxy for sentiment, we use the fraction of positive and negative words in two columns of financial news from the New York Times. The main contribution of the paper is to show that, controlling for other well-known time-series patterns, the predictability of stock returns using news’ content... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Taxes, Theft, and Firm Performance Posted: 30 Jan 2013 10:02 AM PST This paper examines the interaction between income diversion and firm performance. Using unique Russian banking transaction data, I identify 42,483 spacemen, fly-by-night firms created specifically for income diversion. Next, I build a direct measure of income diversion for 45,429 companies and show that it is negatively related to firm performance. I identify the main reason for the observed... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jan 2013 10:02 AM PST We analyze the impact of financial globalization on business cycle synchronization using a proprietary database on banks’ international exposure for industrialized countries during 1978 to 2006. Theory makes ambiguous predictions and identification has been elusive due to lack of bilateral time-varying financial linkages data. In contrast to conventional wisdom and previous empirical studies,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Decentralized Investment Management: Evidence from the Pension Fund Industry Posted: 30 Jan 2013 10:02 AM PST Using a unique data set, we document two secular trends in the shift from centralized to decentralized pension fund management over the past few decades. First, across asset classes, sponsors replaced generalist balanced managers with better-performing specialists. Second, within asset classes, funds replaced single managers with multiple competing managers following diverse strategies to reduce... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jan 2013 09:39 AM PST This paper documents “runs†on asset-backed commercial paper (ABCP) programs in 2007. We find that one-third of programs experienced a run within weeks of the onset of the ABCP crisis and that runs, as well as yields and maturities for new issues, were related to program-level and macro-financial risks. These findings are consistent with the asymmetric information framework used to explain... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Equilibrium Subprime Lending Posted: 30 Jan 2013 09:39 AM PST This paper develops an equilibrium model of a subprime mortgage market. Our goal is to offer a benchmark with which the recent subprime boom and bust can be com- pared. The model is tractable and delivers plausible orders of magnitude for borrowing capacities, as well as default and trading intensities. We offer simple explanations for several phenomena in the subprime market, such as the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Value and Momentum Everywhere Posted: 30 Jan 2013 09:39 AM PST We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns. Value and momentum returns correlate more strongly across asset classes than passive exposures to the asset classes, but value and momentum are negatively correlated with each other, both within and across asset classes. Our results indicate... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jan 2013 09:39 AM PST We investigate how firms respond to strengthening of creditor rights by examining their financial decisions following a securitization reform in India. We find that the reform led to a reduction in secured debt, total debt, debt maturity, and asset growth, and an increase in liquidity hoarding by firms. Moreover, the effects are more pronounced for firms that have a higher proportion of tangible... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: State-Level Business Cycles and Local Return Predictability Posted: 30 Jan 2013 09:39 AM PST This study examines whether local stock returns vary with local business cycles in a predictable manner. We find that U.S. state portfolios earn higher future returns when state-level unemployment rates are higher and housing collateral ratios are lower. During the 1978 to 2009 period, geography-based trading strategies earn annualized risk-adjusted returns of 5%. This abnormal performance... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jan 2013 09:39 AM PST Why is the equity premium so high, and why are stocks so volatile? Why are stock returns in excess of government bill rates predictable? This paper proposes an answer to these questions based on a time-varying probability of a consumption disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some probability of a consumption... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Jan 2013 09:39 AM PST I examine how strong corporate governance proxied by the threat of hostile takeovers affects innovation and firm value. I find a significant decline in the number of patents and citations per patent for firms incorporated in states that pass antitakeover laws relative to firms incorporated in states that do not. Most of the impact of antitakeover laws on innovation occurs two or more years after... Visit MoneyScience for the Complete Article.    |
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