MoneyScience News |
- Published / Preprint: 11Apr/Framework on monitoring tools for intraday liquidity management issued by the Basel Committee
- Vendor News: April 11, 2013 - SS&C GlobeOp Hedge Fund Performance Index: March performance 1.53%; Capital Movement Index: April net flows decline 1.22%
- Blog Post: TheFinancialServicesClub: Banks' mobile apps fall short of the grade
- Published / Preprint: An Institutional Theory of Momentum and Reversal
- Published / Preprint: Book-to-Market Equity, Financial Leverage, and the Cross-Section of Stock Returns
- Published / Preprint: Corporate Leverage, Debt Maturity, and Credit Supply: The Role of Credit Default Swaps
- Published / Preprint: Indirect Costs of Financial Distress in Durable Goods Industries: The Case of Auto Manufacturers
- Published / Preprint: Entangled Financial Systems
- Published / Preprint: Economic Linkages, Relative Scarcity, and Commodity Futures Returns
- Blog Post: TheAlephBlog: Classic: Using Investment Advice, Part 3
- Blog Post: WealthandCapitalMarketsBlog: 5.16.13: Celent Securities & Investments Webinar: Impacts of EMIR for the Buy Side
- Published / Preprint: Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions. (arXiv:1304.2942v1 [q-fin.TR])
- Published / Preprint: No such pipe, or this pipe has been deleted
| Posted: 11 Apr 2013 03:07 AM PDT Press release about the Basel Committee issuing "Framework on monitoring tools for intraday liquidity management" (11 April 2013) Visit MoneyScience for the Complete Article.      |
| Posted: 11 Apr 2013 01:17 AM PDT    |
| Blog Post: TheFinancialServicesClub: Banks' mobile apps fall short of the grade Posted: 11 Apr 2013 12:58 AM PDT I got an interesting piece of news about a report on mobile apps this week: "Mobile Apps for Banking 2013" by myprivatebanking, a Zurich-based research firm.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: An Institutional Theory of Momentum and Reversal Posted: 10 Apr 2013 11:34 PM PDT We propose a theory of momentum and reversal based on flows between investment funds. Flows are triggered by changes in fund managers' efficiency, which investors either observe directly or infer from past performance. Momentum arises if flows exhibit inertia, and because rational prices underreact to expected future flows. Reversal arises because flows push prices away from fundamental values.... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2013 11:34 PM PDT I propose a new dynamic model of the firm that links operating leverage to both value premium and book-leverage premium in stock returns. Value firms are low-productivity firms with either high operating leverage or high financial leverage. Firms with high operating leverage maintain low book leverage ratios. When operating leverage is economically significant, both value firms and low... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2013 11:34 PM PDT Does the ability of suppliers of corporate debt capital to hedge risk through credit default swap (CDS) contracts impact firms' capital structures? We find that firms with traded CDS contracts on their debt are able to maintain higher leverage ratios and longer debt maturities. This is especially true during periods in which credit constraints become binding, as would be expected if the ability... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2013 11:34 PM PDT Financial distress can disrupt a durable goods producer's provision of complementary goods and services such as warranties, spare parts and maintenance. This reduces consumers' demand for the core product, causing indirect costs of financial distress. We test this hypothesis in the market for used cars sold at wholesale auctions. An increase in a manufacturer's credit default swaps significantly... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Entangled Financial Systems Posted: 10 Apr 2013 11:34 PM PDT I model an entangled financial system in which banks hedge their portfolio risks using over-the-counter (OTC) contracts. However, banks choose not to hedge counterparty risk, and thus the idiosyncratic failure of a bank can lead to a systemic run of lenders. An inefficiency arises because banks engage in a version of risk shifting through the network externalities created by OTC contracts. Banks... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Economic Linkages, Relative Scarcity, and Commodity Futures Returns Posted: 10 Apr 2013 11:34 PM PDT This paper shows that economic linkages among commodities create a source of long-term correlation between futures returns. We extend the theory of storage to a multi-commodity level and find that the convenience yield of a commodity depends on its relative scarcity with respect to other related commodities. This implies a feedback effect between commodities that is necessary to replicate the... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Classic: Using Investment Advice, Part 3 Posted: 10 Apr 2013 10:43 PM PDT The following was published on 3/29/2004: read more... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2013 10:20 PM PDT Celent Senior Analyst Joséphine de Chazournesread more... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Apr 2013 05:34 PM PDT We solve the optimal trade execution problem in the Almgren and Chirss framework with the Value-at-risk / Expected Shortfall based criterion of Gatheral and Schied when the underlying unaffected stock price follows a displaced diffusion model. The displaced diffusion model can conveniently model at the same time situations where either an arithmetic Brownian motion (ABM) or a geometric Browinan... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: No such pipe, or this pipe has been deleted Posted: 10 Apr 2013 11:27 AM PDT This data comes from pipes.yahoo.com but the Pipe does not exist or has been deleted. Visit MoneyScience for the Complete Article.    |
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