MoneyScience News |
- Published / Preprint: Understanding the Puzzling Risk-Return Relationship for Housing
- Published / Preprint: The Delegated Lucas Tree
- Published / Preprint: Optimal Corporate Governance in the Presence of an Activist Investor
- Published / Preprint: What Motivates Minority Acquisitions? The Trade-Offs between a Partial Equity Stake and Complete Integration
- Published / Preprint: Optimal Convergence Trade Strategies
- Blog Post: PatrickBurns: US market portrait 2013 week 10
- Call for Papers: Conference on Currency Trading and Risk Premia - Oxford Man Institute of #Quant Finance @OxManInst http://t.co/1T1lMioi
| Published / Preprint: Understanding the Puzzling Risk-Return Relationship for Housing Posted: 09 Mar 2013 03:36 AM PST Standard theory predicts a positive relationship between risk and return, yet recent data show that housing returns vary positively with risk in some markets but negatively in others. This paper rationalizes these cross-market differences in the risk-return relationship for housing, and in so doing, explains the puzzling negative relationship. The paper shows that when the current house provides... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: The Delegated Lucas Tree Posted: 09 Mar 2013 03:36 AM PST We analyze the effects of the observed increased share of delegated capital for trading strategies and equilibrium prices by introducing delegation into a standard Lucas exchange economy. In equilibrium, some investors trade on their own account, but others decide to delegate trading to professional fund managers. Flow-performance incentive functions describe how much capital clients provide to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal Corporate Governance in the Presence of an Activist Investor Posted: 09 Mar 2013 03:36 AM PST We provide a model of governance in which a board arbitrates between an activist investor and a manager facing reputational concerns. The optimal level of internal board governance depends on both the severity of the agency conflict and the strength of external governance. Internal governance creates a certification effect, so greater intervention by the board can lead to worse managerial... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Mar 2013 03:36 AM PST Minority acquisitions, involving less than 50% of the target, represent a distinct organizational choice. Minority acquisition can mitigate some of the incentive problems that arise in contractual relationships. Less is known, however, about the trade-off between minority acquisitions and complete integration. We find that minority acquisitions are more common when keeping target managerial... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal Convergence Trade Strategies Posted: 09 Mar 2013 03:36 AM PST Convergence trades exploit temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively overpriced assets. This paper studies optimal convergence trades under both recurring and nonrecurring arbitrage opportunities represented by continuing and "stopped" cointegrated price processes and considers both fixed and stochastic (Poisson) horizons.... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2013 week 10 Posted: 09 Mar 2013 02:55 AM PST US large cap market returns.read more... 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.    |
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