MoneyScience News |
- Published / Preprint: Informed Trading through the Accounts of Children
- Published / Preprint: The Real Effects of Financial Shocks: Evidence from Exogenous Changes in Analyst Coverage
- Published / Preprint: International Stock Return Predictability: What is the Role of the United States?
- Published / Preprint: Law, Stock Markets, and Innovation
- Blog Post: TheFinancialServicesClub: Banks are just data vaults
- Published / Preprint: 19Mar/Basel III monitoring results published by the Basel Committee
- Published / Preprint: Mutual Fund Performance and the Incentive to Generate Alpha
- Published / Preprint: The Business Cycle, Investor Sentiment, and Costly External Finance
- Published / Preprint: Opening the Black Box: Internal Capital Markets and Managerial Power
- Published / Preprint: Cheap Credit, Lending Operations, and International Politics: The Case of Global Microfinance
- Published / Preprint: The Determinants of Attitudes towards Strategic Default on Mortgages
- Blog Post: TheAlephBlog: On the CFA Institute's âFuture of Financeâ
- Published / Preprint: A liability tracking approach to long term management of pension funds. (arXiv:1303.3956v1 [q-fin.PM])
- Published / Preprint: Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims. (arXiv:1303.4082v1 [q-fin.PR])
- Published / Preprint: The Small-Maturity Heston Forward Smile. (arXiv:1303.4268v1 [q-fin.PR])
- Published / Preprint: A note on pricing of contingent claims under G-expectation. (arXiv:1303.4274v1 [math.PR])
- Published / Preprint: Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades. (arXiv:1303.4314v1 [q-fin.ST])
- Published / Preprint: Are random trading strategies more successful than technical ones?. (arXiv:1303.4351v1 [q-fin.ST])
- Blog Post: Falkenblog: When Smiling is Beta
- Research Library: The New Investor
- Research Library: Cyclic Game Dynamics Driven by Iterated Reasoning
- Call for Papers: Conference on Currency Trading and Risk Premia - Oxford Man Institute of #Quant Finance @OxManInst http://t.co/1T1lMioi
- Wiley Finance Newsletter - October
- Wiley Finance Newsletter - September
- Henley Business School welcomes Her Majesty the Queen for three-county Diamond Jubilee Garden Party
- Free Journal Articles from the Journal of Banking Regulation
- Cass Knowledge Newsletter - June 2012
- International Product Development Management conference
- Call for contributed talks "Economics on the Move: Trends and Challenges from the Natural Sciences"
- Call for Papers: Complex 2012: 2nd International ICST Conference on Complex Sciences: Theory and Applications
- Wiley-Blackwell Finance Newsletter - April
- Wiley Finance Newsletter March: Successfully Navigate The Post-Reform World
- Banks Team Up to Cut Technology Spending Burden
- Call for Abstract: ECCS '12 Satellite Meeting: Data-Driven Modeling of Contagion Processes
- WIley Finance 2012 Risk and Quantitative Finance Catalogue
- Award-Winning Finance Professor Helyette Geman Named Special Advisor to Commodity Talent LLC
- Wiley Finance Newsletter January: Making the Numbers Work
- David Einhorn, the man who shorted Lehman, fined for insider dealing
- Call for Papers - Quantitative Finance - Special Issue on âCommoditiesâ
- Call For Papers: Journal of Financial Stability Focus Issue on "Financial Innovation, Regulation and Stability after the Transatlantic Financial Crisis"
- Call for Applications - Harvard University - Edmond J. Safra Lab Fellowships and Projects - Institutional Corruption - Closing Date Feb 1, 2012
- Enjoy FREE ACCESS to the most downloaded articles from selected Economics and Finance journals!
- Marriage of two fund managers Man Group and GLG admits impediments
| Published / Preprint: Informed Trading through the Accounts of Children Posted: 19 Mar 2013 03:41 AM PDT This study shows that the guardians behind underaged accounts are successful at picking stocks. Moreover, they tend to channel their best trades through the accounts of children, especially when they trade just before major earnings announcements, large price changes, and takeover announcements. Building on these results, we argue that the proportion of total trading activity through underaged... Visit MoneyScience for the Complete Article.      |
| Posted: 19 Mar 2013 03:41 AM PDT We study the causal effects of analyst coverage on corporate investment and financing policies. We hypothesize that a decrease in analyst coverage increases information asymmetry and thus increases the cost of capital; as a result, firms decrease their investment and financing. We use broker closures and broker mergers to identify changes in analyst coverage that are exogenous to corporate... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Mar 2013 03:41 AM PDT We investigate lead-lag relationships among monthly country stock returns and identify a leading role for the U.S.: lagged U.S. returns significantly predict returns in numerous non-U.S. industrialized countries, while lagged non-U.S. returns display limited predictive ability with respect to U.S. returns. We estimate a news-diffusion model, and the results indicate that return shocks arising in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Law, Stock Markets, and Innovation Posted: 19 Mar 2013 03:41 AM PDT We study a broad sample of firms across 32 countries and find that strong shareholder protections and better access to stock market financing lead to substantially higher long-run rates of R&D investment, particularly in small firms, but are unimportant for fixed capital investment. Credit market development has a modest impact on fixed investment but no impact on R&D. These findings connect law... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Banks are just data vaults Posted: 19 Mar 2013 03:08 AM PDT There have been several themes I’ve explored on the blog lately that are the foundations of my latest presentations:read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 19Mar/Basel III monitoring results published by the Basel Committee Posted: 19 Mar 2013 03:06 AM PDT Press release about "Basel III monitoring results published by the Basel Committee" (19 March 2013) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Mutual Fund Performance and the Incentive to Generate Alpha Posted: 19 Mar 2013 03:03 AM PDT To rationalize the well-known underperformance of the average actively managed mutual fund, we exploit the fact that retail funds in different market segments compete for different types of investors. Within the segment of funds marketed directly to retail investors, we show that flows chase risk-adjusted returns, and that funds respond by investing more in active management. Importantly, within... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Business Cycle, Investor Sentiment, and Costly External Finance Posted: 19 Mar 2013 03:03 AM PDT The recent financial crisis shows that financial markets can impact the real economy. We investigate whether access to finance typically time-varies and if so, what are the real effects. Consistent with time-varying external finance costs, both investment and employment are less sensitive to Tobin's q and more sensitive to cash flow during recessions and low investor sentiment periods. Share... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Opening the Black Box: Internal Capital Markets and Managerial Power Posted: 19 Mar 2013 03:03 AM PDT We analyze the internal capital markets of a multinational conglomerate, using a unique panel data set of planned and actual allocations to business units and a survey of unit CEOs. Following cash windfalls, more powerful managers obtain larger allocations and increase investment substantially more than their less connected peers. We identify cash windfalls as a source of misallocation of... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Mar 2013 03:03 AM PDT The provision of subsidized credit to financial institutions is an important and frequently used policy tool of governments and central banks. To assess its effectiveness, we exploit changes in international bilateral political relationships that generate shocks to the cost of financing for microfinance institutions (MFIs). MFIs that experience politically driven reductions in total borrowing... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Determinants of Attitudes towards Strategic Default on Mortgages Posted: 19 Mar 2013 03:03 AM PDT We use survey data to measure households’ propensity to default on mortgages even if they can afford to pay them (strategic default) when the value of the mortgage exceeds the value of the house. The willingness to default increases in both the absolute and the relative size of the home-equity shortfall. Our evidence suggests that this willingness is affected by both pecuniary and non-pecuniary... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On the CFA Institute's âFuture of Financeâ Posted: 18 Mar 2013 10:51 PM PDT All hail the CFA Institute. They are trying to inject more ethics into the market through their “Future of Finance” initiative. I largely agree, but think they are overly optimistic in some areas.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2013 06:45 PM PDT We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framework and then the optimal portfolio strategy hedges the liability by directly tracking a benchmark process which represents the liability. Two numerical results using empirical data published by Japanese organizations are... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2013 06:45 PM PDT We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a multivariate counting process with stochastic intensities. The interest rate, drift, volatility and intensities fluctuate over time and, in particular, they depend... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Small-Maturity Heston Forward Smile. (arXiv:1303.4268v1 [q-fin.PR]) Posted: 18 Mar 2013 06:45 PM PDT In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the Heston model as the maturity approaches zero. We prove that the forward smile for out-of-the-money options explodes and compute a closed-form high-order expansion detailing the rate of the explosion. Furthermore the result shows that the square-root behaviour of the... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2013 06:45 PM PDT In this paper, we study the pricing of contingent claims under G-expectation. In order to accomodate volatility uncertainty, the price of the risky security is supposed to governed by a general linear stochastic differential equation (SDE) driven by G-Brownian motion. Utilizing the recently developed results of Backward SDE driven by G-Brownian motion, we obtain the superhedging and suberhedging... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2013 06:45 PM PDT The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the markets have rational risk-neutral investors, then one would not expect profits... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Mar 2013 06:45 PM PDT In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we study the performance of some of the most used trading strategies in predicting the dynamics of financial markets for different international stock exchange... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: When Smiling is Beta Posted: 18 Mar 2013 06:37 PM PDT After amateur wrestling, my favorite sport is MMA and last weekend's bouts were pretty good (winner Georges St. Pierre's face looked pretty beat up). It's good to know the scientists are mining it for data on the human condition. Chimpanzees smile to show submission to higher status males, and it seems we aren't so different. Some psychologists looked at 76 snapshots of fighters in their... Visit MoneyScience for the Complete Article.    |
| Research Library: The New Investor Posted: 18 Mar 2013 09:48 AM PDT Tom C. W. Lin University of Florida - Fredric G. Levin College of Law Abstract A sea change is happening in finance. Machines appear to be on the rise and humans on the decline. Human endeavors have become unmanned endeavors. Human thought and human deliberation have been replaced by computerized analysis and mathematical models. Technological advances have made finance faster, larger, more... Visit MoneyScience for the Complete Article.    |
| Research Library: Cyclic Game Dynamics Driven by Iterated Reasoning Posted: 18 Mar 2013 09:07 AM PDT Published in PLOS One: Seth Frey, Robert L. Goldstone Abstract Recent theories from complexity science argue that complex dynamics are ubiquitous in social and economic systems. These claims emerge from the analysis of individually simple agents whose collective behavior is surprisingly complicated. However, economists have argued that iterated reasoning–what you think I think... 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.    |
| Wiley Finance Newsletter - October Posted: 24 Oct 2012 03:29 AM PDT Finance & Investingread more... Visit MoneyScience for the Complete Article.    |
| Wiley Finance Newsletter - September Posted: 21 Sep 2012 04:50 AM PDT Counterparty Credit Risk read more... Visit MoneyScience for the Complete Article.    |
| Henley Business School welcomes Her Majesty the Queen for three-county Diamond Jubilee Garden Party Posted: 19 Sep 2012 07:44 AM PDT Henley Business School at the University of Reading was delighted to welcome Her Majesty The Queen and His Royal Highness The Duke of Edinburgh for a summer garden party on Monday 25 June..... Visit MoneyScience for the Complete Article.    |
| Free Journal Articles from the Journal of Banking Regulation Posted: 05 Sep 2012 12:14 PM PDT Palgrave Macmillan and the editorial team on the Journal of Banking Regulation have selected this set of papers from the archive of the journal to give a representative sample of the best of our content.read more... Visit MoneyScience for the Complete Article.    |
| Cass Knowledge Newsletter - June 2012 Posted: 04 Jul 2012 05:05 AM PDT Welcome to the June edition of the Cass Knowledge newsletter. This month’s newsletter will highlight key articles from the past month. Topics covered include knowledge acquisition in investment banking and the use of images to shape a consumers reaction to really new products (RNPs). There is also more information on an upcoming event that all Cass Knowledge subscribers are invited to,... Visit MoneyScience for the Complete Article.    |
| International Product Development Management conference Posted: 12 Jun 2012 08:55 AM PDT    |
| Call for contributed talks "Economics on the Move: Trends and Challenges from the Natural Sciences" Posted: 07 Jun 2012 03:24 AM PDT ETH Zurich, partner of the Forecasting Financial Crises project, is calling for contributed talks to the Latsis Symposium 2012 “Economics on the Move: Trends and Challenges from the Natural Sciences“, a high-level conference that will be held from 12 to 14 September 2012 at ETH Zurich, Switzerland.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 03 May 2012 06:42 AM PDT Call for Papersread more... Visit MoneyScience for the Complete Article.    |
| Wiley-Blackwell Finance Newsletter - April Posted: 24 Apr 2012 02:50 AM PDT Wiley-Blackwell Finance Newsletter: Trading Welcome to the Wiley-Blackwell Finance Newsletter. In this edition, we're offering you FREE access to the latest research on Trading. Wiley-Blackwell publishes some of the most widely read, frequently cited, and highly-ranked journals in the ISI's Business Finance category. Read the studies below, and find out... Visit MoneyScience for the Complete Article.    |
| Wiley Finance Newsletter March: Successfully Navigate The Post-Reform World Posted: 19 Mar 2012 06:22 AM PDT Successfully Navigate The Post-Reform Worldread more... Visit MoneyScience for the Complete Article.    |
| Banks Team Up to Cut Technology Spending Burden Posted: 13 Mar 2012 09:54 AM PDT Investment banks are beginning to share development costs for back office and regulatory compliance systems.read more... Visit MoneyScience for the Complete Article.    |
| Call for Abstract: ECCS '12 Satellite Meeting: Data-Driven Modeling of Contagion Processes Posted: 05 Mar 2012 03:07 AM PST IMPORTANT DATES read more... Visit MoneyScience for the Complete Article.    |
| WIley Finance 2012 Risk and Quantitative Finance Catalogue Posted: 29 Feb 2012 08:31 AM PST Save 20% on Risk and Quant finance books on financial modelling, quantitative finance, financial engineering, market credit and operational risk management.read more... Visit MoneyScience for the Complete Article.    |
| Award-Winning Finance Professor Helyette Geman Named Special Advisor to Commodity Talent LLC Posted: 07 Feb 2012 02:51 AM PST Helyette Geman, award-winning commodity finance professor and advisor to governments and some of the largest financial service companies and commodity firms, has been named Special Advisor to Commodity Talent LLC, the New York-based global executive recruitment firm announced today.read more... Visit MoneyScience for the Complete Article.    |
| Wiley Finance Newsletter January: Making the Numbers Work Posted: 27 Jan 2012 02:51 AM PST Investment Insight From Experts In The Fieldread more... Visit MoneyScience for the Complete Article.    |
| David Einhorn, the man who shorted Lehman, fined for insider dealing Posted: 25 Jan 2012 10:35 PM PST Dominic Rushe writes in The Guardian:read more... Visit MoneyScience for the Complete Article.    |
| Call for Papers - Quantitative Finance - Special Issue on âCommoditiesâ Posted: 24 Jan 2012 09:09 AM PST Proposals are invited for a special issue of Quantitative Finance on the theme of Commodity Markets to be published in 2012.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jan 2012 02:44 PM PST Issue Editor: Professor Thorsten Beck, CentER and European Banking Center Tilburg University and CEPR, The Netherlands We would like to invite papers that address - theoretically or empirically - the topic of financial innovation, regulation and stability after the recent Transatlantic Financial Crisis. Specifically, we are looking for papers addressing the following or similar ... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jan 2012 10:59 AM PST Come help us advance our work on institutional corruption. The Edmond J. Safra Center for Ethics at Harvard University invites scholars, practitioners, innovators and others committed to understanding and remedying institutional corruption to submit proposals to join our community. BACKGROUND: The Edmond J. Safra Research Lab is currently in the third year of a five-year project on... Visit MoneyScience for the Complete Article.    |
| Enjoy FREE ACCESS to the most downloaded articles from selected Economics and Finance journals! Posted: 19 Jan 2012 08:05 AM PST Simply click on your area of interest below to access today:read more... Visit MoneyScience for the Complete Article.    |
| Marriage of two fund managers Man Group and GLG admits impediments Posted: 18 Jan 2012 01:16 PM PST Via Nils Pratley writes in The Guardian:read more... Visit MoneyScience for the Complete Article.    |
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