MoneyScience News |
- Research Library: Statistical Signatures in Times of Panic: Markets as a Self-Organizing System
- Blog Post: TheFinancialServicesClub: Bank security is like a King with a Princess
- Published / Preprint: An Exactly Solvable Discrete Stochastic Process with Correlated Properties. (arXiv:1305.2655v1 [q-fin.ST])
- Published / Preprint: Markov switching quadratic term structure models. (arXiv:1305.2693v1 [q-fin.PR])
- Published / Preprint: Ergodic transition in a simple model of the continuous double auction. (arXiv:1305.2716v1 [q-fin.TR])
- Published / Preprint: The Statistical and Econometric Analysis of Asylum Application Trends and their relationship to GDP in the EEA. (arXiv:1305.2824v1 [stat.AP])
- Published / Preprint: Do Hedge Funds Manipulate Stock Prices?
- Published / Preprint: Risk Management and Firm Value: Evidence from Weather Derivatives
- Published / Preprint: Market Expectations in the Cross-Section of Present Values
- Published / Preprint: Corporate Innovations and Mergers and Acquisitions
- Published / Preprint: Consumption Volatility Risk
- Published / Preprint: Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies
- Published / Preprint: Aggregate Risk and the Choice between Cash and Lines of Credit
- Women in Quantitative Finance #2 - Interview with Dr Lisa Borland
| Research Library: Statistical Signatures in Times of Panic: Markets as a Self-Organizing System Posted: 14 May 2013 02:12 AM PDT Lisa Borland Abstract We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in normal times. The co-movement of stock returns also increases in panic times. We define a simple statistic $s$, the normalized sum of... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Bank security is like a King with a Princess Posted: 14 May 2013 01:23 AM PDT Once upon a time, there was a King.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 13 May 2013 05:39 PM PDT We propose a correlated stochastic process of which the novel non-Gaussian probability mass function is constructed by exactly solving moment generating function. The calculation of cumulants and auto-correlation shows that the process is convergent and scale invariant in the large but finite number limit. We demonstrate that the model consistently explains both the distribution and the... Visit MoneyScience for the Complete Article.    |
| Posted: 13 May 2013 05:39 PM PDT In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends justify the interest of Regime Switching Quadratic Term Structure Model (RS-QTSM). Indeed, this regime... Visit MoneyScience for the Complete Article.    |
| Posted: 13 May 2013 05:39 PM PDT We study a phenomenological model for the continuous double auction, equivalent to two independent $M/M/1$ queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the auction are derived and, as a consequence, three possible regimes in the behavior of prices and logarithmic returns are observed. In the ergodic regime, prices... Visit MoneyScience for the Complete Article.    |
| Posted: 13 May 2013 05:39 PM PDT The sharp decline in Ireland's economic performance in recent years has coincided with a recent fall in asylum applications. Simultaneously countries such as Switzerland are seeing increases in asylum numbers with evidence for greater numbers of Nigerian applicants, a group that have for some time been the largest nationality group applying in Ireland. A possible reason for this shift in asylum... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Do Hedge Funds Manipulate Stock Prices? Posted: 13 May 2013 10:25 AM PDT We provide evidence suggesting that some hedge funds manipulate stock prices on critical reporting dates. Stocks in the top quartile of hedge fund holdings exhibit abnormal returns of 0.30% on the last day of the quarter and a reversal of 0.25% on the following day. A significant part of the return is earned during the last minutes of trading. Analysis of intraday volume and order imbalance... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Risk Management and Firm Value: Evidence from Weather Derivatives Posted: 13 May 2013 10:24 AM PDT This paper shows that active risk management policies lead to an increase in firm value. To identify the effect of hedging and to overcome endogeneity concerns, we exploit the introduction of weather derivatives as an exogenous shock to firms’ ability to hedge weather risks. This innovation disproportionately benefits weather-sensitive firms, irrespective of their future investment... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Market Expectations in the Cross-Section of Present Values Posted: 13 May 2013 10:24 AM PDT Returns and cash flow growth for the aggregate U.S. stock market are highly and robustly predictable. Using a single factor extracted from the cross-section of book-to-market ratios, we find an out-of-sample return forecasting R2 of 13 at the annual frequency (0.9% monthly). We document similar out-of-sample predictability for returns on value, size, momentum, and industry portfolios. We present... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Corporate Innovations and Mergers and Acquisitions Posted: 13 May 2013 10:24 AM PDT Using a large and unique patent-merger data set over the period 1984 to 2006, we show that companies with large patent portfolios and low R&D expenses are acquirers, while companies with high R&D expenses and slow growth in patent output are targets. Further, technological overlap between firm pairs has a positive effect on transaction incidence, and this effect is reduced for firm pairs that... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Consumption Volatility Risk Posted: 13 May 2013 10:24 AM PDT We show that time-variation in macroeconomic uncertainty affects asset prices. Consumption volatility is a negatively priced source of risk for a wide variety of test portfolios. At the firm level, exposure to consumption volatility risk predicts future returns, generating a spread across quintile portfolios in excess of 7% annually. This premium is explained by cross-sectional differences in the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies Posted: 13 May 2013 10:24 AM PDT We construct a risk management index (RMI) to measure the strength and independence of the risk management function at bank holding companies (BHCs). U.S. BHCs with higher RMI before the onset of the financial crisis have lower tail risk, lower nonperforming loans, and better operating and stock return performance during the financial crisis years. Over the period 1995 to 2010, BHCs with a higher... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Aggregate Risk and the Choice between Cash and Lines of Credit Posted: 13 May 2013 10:24 AM PDT Banks can create liquidity for firms by pooling their idiosyncratic risks. As a result, bank lines of credit to firms with greater aggregate risk should be costlier and such firms opt for cash in spite of the incurred liquidity premium. We find empirical support for this novel theoretical insight. Firms with higher beta have a higher ratio of cash to credit lines and face greater costs on their... Visit MoneyScience for the Complete Article.    |
| Women in Quantitative Finance #2 - Interview with Dr Lisa Borland Posted: 10 May 2013 08:35 AM PDT read more... Visit MoneyScience for the Complete Article.    |
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