MoneyScience News |
- Blog Post: TheAlephBlog: Sorted Weekly Tweets
- Blog Post: Falkenblog: Interesting Gender Research
- Published / Preprint: 15Feb/Basel Committee and IOSCO issue near-final proposal on margin requirements for non-centrally-cleared derivatives
- Published / Preprint: Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
- Published / Preprint: Organization Capital and the Cross-Section of Expected Returns
- Blog Post: iMFdirect: Europe: Toward A More Perfect Union
- Published / Preprint: 15Feb/Basel Committee issues final guidance for managing risks associated with the settlement of foreign exchange transactions
- Published / Preprint: Contractual Resolutions of Financial Distress
- Published / Preprint: Misvaluing Innovation
- Published / Preprint: Mutual Fund's R2 as Predictor of Performance
- Published / Preprint: Using Option Prices to Infer Overpayments and Synergies in M&A Transactions
- Published / Preprint: Realization Utility with Reference-Dependent Preferences
- Published / Preprint: CDS Auctions
- Published / Preprint: Is Disclosure an Effective Cleansing Mechanism? The Dynamics of Compensation Peer Benchmarking
- Call for Papers: "European Financial Management Association 2013 Annual Meetingâ http://t.co/YzMNM0nc
| Blog Post: TheAlephBlog: Sorted Weekly Tweets Posted: 15 Feb 2013 10:35 PM PST Rest of the Worldread more... Visit MoneyScience for the Complete Article.      |
| Blog Post: Falkenblog: Interesting Gender Research Posted: 15 Feb 2013 05:47 PM PST This is the kind of sociologica research I find really interesting. Notre Dame Sociologist Elizabeth McClintock did some straightforward, interesting, research mentioned by James Taranto at the WSJ: She made the plausible assumption that the most attractive members of each sex are the ones with the widest range of options, and therefore that their behavior more closely reflects each sex's actual... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2013 03:08 PM PST Press release about the Basel Committee and IOSCO issuing near-final proposal on margin requirements for non-centrally-cleared derivatives (15 February 2013) Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2013 07:36 AM PST Over the years, many asset pricing studies have employed the sample cross-sectional regression (CSR) R2 as a measure of model performance. We derive the asymptotic distribution of this statistic and develop associated model comparison tests, taking into account the impact of model misspecification on the variability of the CSR estimates. We encounter several examples of large R2 differences that... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Organization Capital and the Cross-Section of Expected Returns Posted: 15 Feb 2013 07:36 AM PST Organization capital is a production factor that is embodied in the firm's key talent and has an efficiency that is firm specific. Hence, both shareholders and key talent have a claim to its cash flows. We develop a model in which the outside option of the key talent determines the share of firm cash flows that accrue to shareholders. This outside option varies systematically and renders firms... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Europe: Toward A More Perfect Union Posted: 15 Feb 2013 07:36 AM PST read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2013 07:12 AM PST Press release about the Basel Committee issuing final guidance for managing risks associated with the settlement of foreign exchange transactions (15 February 2013) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Contractual Resolutions of Financial Distress Posted: 15 Feb 2013 05:33 AM PST In a financial contracting model, we study the optimal debt structure to resolve financial distress. We show that a debt structure where two distinct debt classes coexist—one class fully concentrated and with control rights upon default, the other dispersed and without control rights—removes the controlling creditor's liquidation bias when investor protection is strong. These results... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Misvaluing Innovation Posted: 15 Feb 2013 05:33 AM PST We demonstrate that a firm's ability to innovate is predictable, persistent, and relatively simple to compute, and yet the stock market appears to ignore the implications of past successes when valuing future innovation. We show that two firms that invest the same in R&D can have quite divergent, but predictably divergent, future paths based on their past track records. A long-short portfolio... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Mutual Fund's R2 as Predictor of Performance Posted: 15 Feb 2013 05:33 AM PST We propose that fund performance can be predicted by its R2, obtained from a regression of its returns on a multifactor benchmark model. Lower R2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R2 and highest-quintile lagged alpha produce significant annual alpha of 3.8%. Across funds, R2 is positively associated with... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2013 05:33 AM PST In this paper, we use call option prices to identify synergies and news from merger and acquisition (M&A) transaction announcements. We find that M&A announcements result in large and approximately equal gains to the bidder and the target on average, with the combined gains being large enough to justify the premium paid to target shareholders. On average, M&A announcements release... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Realization Utility with Reference-Dependent Preferences Posted: 15 Feb 2013 05:33 AM PST We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It makes specific predictions about the volume of gains and losses, the holding periods, and the sizes of both realized and paper gains and losses that can be... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: CDS Auctions Posted: 15 Feb 2013 05:33 AM PST We analyze auctions for the settlement of credit default swaps (CDS) theoretically and evaluate them empirically. The requirement to settle in cash with an option to settle physically leads to an unusual two-stage process. In the first stage, participants affect the amount of the bonds to be auctioned off in the second stage. Participants in the second stage may hold positions in derivatives on... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Feb 2013 05:33 AM PST Firms routinely justify CEO compensation by benchmarking against companies with highly paid CEOs. We examine whether the 2006 regulatory requirement of disclosing compensation peers mitigated firms' opportunistic peer selection activities. We find that strategic peer benchmarking did not disappear after enhanced disclosure. In fact, it intensified at firms with low institutional ownership, low... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Oct 2012 07:03 AM PDT moneyscience: Call for Papers: “European Financial Management Association 2013 Annual Meeting†http://t.co/YzMNM0nc Visit MoneyScience for the Complete Article.    |
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