MoneyScience News

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• Did Long-Short Investors Destabilize Commodity Markets?
• Blog Post: TheFinancialServicesClub: Our financial future and the implications of European regulatory change
• Blog Post: TheAlephBlog: Value Investing Flavors
• Blog Post: Falkenblog: My Last Regular Blog Post
• Published / Preprint: Information, no-arbitrage and completeness for asset price models with a change point. (arXiv:1304.0923v1 [q-fin.PR])
• Published / Preprint: A Message from the Editor
• Published / Preprint: Executive Summaries
• Published / Preprint: Texas Roundtable on: The Future of Graduate Business School Education
• Published / Preprint: Margins, Liquidity, and the Cost of Hedging
• Published / Preprint: Corporate Governance and Value: Evidence from âClose Callsâ On Shareholder Governance Proposals
• Published / Preprint: The Effects of Cash, Debt, and Insiders on Open Market Share Repurchases
• Published / Preprint: How Do Investors Interpret Announcements of Earnings Delays?
• Published / Preprint: Quality of Corporate Governance and Cost of Equity in Brazil
• Published / Preprint: Transparency, Value Creation, and Financial Crises
• Published / Preprint: Overcoming Opportunism in PublicâPrivate Project Finance
• Published / Preprint: Agent-based modeling of a price information trading business
• Published / Preprint: High-frequency market-making for multi-dimensional Markov processes
• Published / Preprint: Do wealth distributions follow power laws? Evidence from "rich lists"
• Published / Preprint: An Information-Theoretic Test for Dependence with an Application to the Temporal Structure
• Published / Preprint: A Peer-based Model of Fat-tailed Outcomes
• Published / Preprint: Reputation and Impact in Academic Careers
• Published / Preprint: Coauthorship and citation in scientific publishing
• Published / Preprint: The case for caution in predicting scientists' future impact

Did Long-Short Investors Destabilize Commodity Markets? Posted: 04 Apr 2013 01:33 AM PDT This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long-short commodity portfolios and their conditional correlation with traditional assets (stocks and bonds). Using several groups of trading strategies that hedge fund managers are known to implement, we show that long-short speculators do not cause... Visit MoneyScience for the Complete Article.

Blog Post: TheFinancialServicesClub: Our financial future and the implications of European regulatory change Posted: 04 Apr 2013 12:36 AM PDT As mentioned yesterday, we finished the debate at the CAS-WG Plenary with a panel discussion about the future for the City and the UK financial system in light of European regulatory change.read more... Visit MoneyScience for the Complete Article.

Blog Post: TheAlephBlog: Value Investing Flavors Posted: 03 Apr 2013 10:39 PM PDT I ran across this article, Value Investor or Value Pretender: Which Are You?, by John Mihaljevic who puts out The Manual of Ideas, along with Oliver Mihaljevic.  I appreciate what they do — you can learn a lot from their organization.read more... Visit MoneyScience for the Complete Article.

Blog Post: Falkenblog: My Last Regular Blog Post Posted: 03 Apr 2013 06:21 PM PDT I started writing this blog because I just wanted a place to get things off my chest. To me, heaven isn't flow or sensual pleasure, but rather, a playful and fruitful discussion with friends. It's fun to figure things out.  Blogging was a good way to relieve that need while not burdening my family, neighbors, and ultimately coworkers with discussions on big issues.  I found I liked... Visit MoneyScience for the Complete Article.

Published / Preprint: Information, no-arbitrage and completeness for asset price models with a change point. (arXiv:1304.0923v1 [q-fin.PR]) Posted: 03 Apr 2013 05:35 PM PDT We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time. Under minimal assumptions on the random time and on the driving Brownian motions, we study the behavior of the model in all the filtrations which naturally arise in this setting, establishing martingale representation results... Visit MoneyScience for the Complete Article.

Published / Preprint: A Message from the Editor Posted: 03 Apr 2013 11:31 AM PDT

Published / Preprint: Executive Summaries Posted: 03 Apr 2013 11:31 AM PDT

Published / Preprint: Texas Roundtable on: The Future of Graduate Business School Education Posted: 03 Apr 2013 11:31 AM PDT A small group of academics and practitioners discuss the challenges now facing today's business schools. First and foremost is the challenge now being mounted by “online” courses to the traditional methods of classroom lecture and discussion, supplemented in some cases by apprenticeships and other kinds of “experiential” learning. How will traditional universities burdened with high and... Visit MoneyScience for the Complete Article.

Published / Preprint: Margins, Liquidity, and the Cost of Hedging Posted: 03 Apr 2013 11:31 AM PDT Recent financial reforms, such as the Dodd‐Frank Act in the U.S. and the European Market Infrastructure Regulation, encourage greater use of clearing and therefore increased margining of derivative trades. They also impose margining requirements on noncleared derivative trades. Such requirements have sparked a debate about whether a margin mandate increases the cost of hedging by nonfinancial... Visit MoneyScience for the Complete Article.

Published / Preprint: Corporate Governance and Value: Evidence from âClose Callsâ On Shareholder Governance Proposals Posted: 03 Apr 2013 11:31 AM PDT The authors summarize the findings of their recent study of the effects of specific corporate governance provisions on firm value. Using a sample of governance provisions that were subjected to shareholder votes during the period 1997â€"2011, this study analyzes cases in which shareholder‐sponsored corporate governance proposals were either rejected or passed by a small margin (no more than 5%... Visit MoneyScience for the Complete Article.

Published / Preprint: The Effects of Cash, Debt, and Insiders on Open Market Share Repurchases Posted: 03 Apr 2013 11:31 AM PDT The findings of the authors' recent study suggest, on balance, that stock repurchases function much like tax‐efficient special dividends, increasing when free cash flow is large and when debt levels are low, but not replacing regularly scheduled dividends. Repurchasing companies experience median event returns of about 2% around the repurchase announcements, with a related mean effect of... Visit MoneyScience for the Complete Article.

Published / Preprint: How Do Investors Interpret Announcements of Earnings Delays? Posted: 03 Apr 2013 11:31 AM PDT Unlike in the case of delays of 10‐K or 10‐Q filings, the SEC does not require managers to disclose delays of earnings announcements to the public. Thus, for companies that are unable to report earnings by their expected date, managers face a decision: remain silent or announce the delay. Prior research has investigated all earnings delays, whether or not they are accompanied by announcements... Visit MoneyScience for the Complete Article.

Published / Preprint: Quality of Corporate Governance and Cost of Equity in Brazil Posted: 03 Apr 2013 11:31 AM PDT Common sense suggests that the adoption of better corporate governance practices, which enable greater transparency, more protection against capital expropriation, and greater rights for investors, should have the effect of reducing the risk perceived by shareholders and so lead to lower required returns. This article investigates the existence of an inverse relationship between the quality of... Visit MoneyScience for the Complete Article.

Published / Preprint: Transparency, Value Creation, and Financial Crises Posted: 03 Apr 2013 11:31 AM PDT This article reports the findings of the authors' recent study of the impact of the level of corporate transparency on shareholder value creation during periods of financial crisis. Their sample consists of the companies comprising Spain's IBEX 35 stock index during the ten‐year period 2000â€"2010. The study uses three different measures of earnings management (EM) as inverse indicators of the... Visit MoneyScience for the Complete Article.

Published / Preprint: Overcoming Opportunism in PublicâPrivate Project Finance Posted: 03 Apr 2013 11:31 AM PDT The possibility of opportunistic behavior, whether by the private investors who operate public‐private projects or by the government agencies who oversee and administer them, can become a powerful deterrent to raising public‐private project financing, especially considering the scale of the investment in infrastructure. Nevertheless, both parties can protect themselves against the... Visit MoneyScience for the Complete Article.

Published / Preprint: Agent-based modeling of a price information trading business Posted: 03 Apr 2013 05:15 AM PDT We describe an agent-based simulation of a fictional (but feasible) information trading business. The Gas Price Information Trader (GPIT) buys information about real-time gas prices in a metropolitan area from drivers and resells the information to drivers who need to refuel their vehicles. Our simulation uses real world geographic data, lifestyle-dependent driving patterns and vehicle models to... Visit MoneyScience for the Complete Article.

Published / Preprint: High-frequency market-making for multi-dimensional Markov processes Posted: 03 Apr 2013 05:15 AM PDT In this paper we complete and extend our previous work on stochastic control applied to high frequency market-making with inventory constraints and directional bets. Our new model admits several state variables (e.g. market spread, stochastic volatility and intensities of market orders) provided the full system is Markov. The solution of the corresponding HJB equation is exact in the case of zero... Visit MoneyScience for the Complete Article.

Published / Preprint: Do wealth distributions follow power laws? Evidence from "rich lists" Posted: 03 Apr 2013 05:15 AM PDT We use data on wealth of the richest persons taken from the "rich lists" provided by business magazines like Forbes to verify if upper tails of wealth distributions follow, as often claimed, a power-law behaviour. The data sets used cover the world's richest persons over 1996-2012, the richest Americans over 1988-2012, the richest Chinese over 2006-2012 and the richest Russians over 2004-2011.... Visit MoneyScience for the Complete Article.

Published / Preprint: An Information-Theoretic Test for Dependence with an Application to the Temporal Structure Posted: 03 Apr 2013 05:15 AM PDT Information theory provides ideas for conceptualising information and measuring relationships between objects. It has found wide application in the sciences, but economics and finance have made surprisingly little use of it. We show that time series data can usefully be studied as information -- by noting the relationship between statistical redundancy and dependence, we are able to use the... Visit MoneyScience for the Complete Article.

Published / Preprint: A Peer-based Model of Fat-tailed Outcomes Posted: 03 Apr 2013 05:15 AM PDT It is well known that the distribution of returns from various financial instruments are leptokurtic, meaning that the distributions have "fatter tails" than a Normal distribution, and have skew toward zero. This paper presents a graceful micro-level explanation for such fat-tailed outcomes, using agents whose private valuations have Normally-distributed errors, but whose utility function... Visit MoneyScience for the Complete Article.

Published / Preprint: Reputation and Impact in Academic Careers Posted: 03 Apr 2013 05:15 AM PDT Reputation is a key social construct in science. However, the relation between this key signaling credential and career growth remains poorly understood. Here we develop an original framework for measuring how citation paths are shaped by two distinct factors - the scientific merit of each individual paper versus the reputation of its authors within the scientific community. To estimate the... Visit MoneyScience for the Complete Article.

Published / Preprint: Coauthorship and citation in scientific publishing Posted: 03 Apr 2013 05:15 AM PDT A large number of published studies have examined the properties of either networks of citation among scientific papers or networks of coauthorship among scientists. Here, using an extensive data set covering more than a century of physics papers published in the Physical Review, we study a hybrid coauthorship/citation network that combines the two, which we analyze to gain insight into the... Visit MoneyScience for the Complete Article.

Published / Preprint: The case for caution in predicting scientists' future impact Posted: 03 Apr 2013 05:15 AM PDT We stress-test the career predictability model proposed by Acuna et al. [Nature 489, 201-202 2012] by applying their model to a longitudinal career data set of 100 Assistant professors in physics, two from each of the top 50 physics departments in the US. The Acuna model claims to predict h(t+\Delta t), a scientist's h-index \Delta t years into the future, using a linear combination of 5... Visit MoneyScience for the Complete Article.

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