MoneyScience News |
- Apprentice Archetypes
- Blog Post: TheAlephBlog: Ben Bernanke, Hypocrite
- Vendor News: July 12, 2013 - SS&C GlobeOp Hedge Fund Performance Index: June performance -1.94%; Capital Movement Index: July net flows decline 1.30%
- Blog Post: TheFinancialServicesClub: Holiday Humour #5: Auditors
- Published / Preprint: The Price of Diversifiable Risk in Venture Capital and Private Equity
- Published / Preprint: Anticipated and Repeated Shocks in Liquid Markets
- Published / Preprint: Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
- Published / Preprint: How Do CEOs Matter? The Effect of Industry Expertise on Acquisition Returns
- Published / Preprint: Pricing Credit Default Swaps with Observable Covariates
- Published / Preprint: Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers
- Published / Preprint: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy. (arXiv:1307.3060v1 [q-fin.ST])
| Posted: 12 Jul 2013 02:15 AM PDT This is a blog post about the BBC show The Apprentice – but stick with me if you don’t watch it, I’ll still try to make it make sense to the uninitiated.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Ben Bernanke, Hypocrite Posted: 12 Jul 2013 01:30 AM PDT Ben Bernanke is like almost anyone else. He ignores contrary data, and accepts confirming data. He knows what his overlords want, and unlike his better predecessors Volcker & Martin, he gives them what they want, because he is their “good boy.” Say “Arf,” Ben.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jul 2013 01:22 AM PDT    |
| Blog Post: TheFinancialServicesClub: Holiday Humour #5: Auditors Posted: 12 Jul 2013 01:21 AM PDT A bank went out to tender for a new auditor.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Price of Diversifiable Risk in Venture Capital and Private Equity Posted: 11 Jul 2013 10:59 PM PDT This paper demonstrates how the principal-agent problem between venture capitalists and their investors (limited partners) causes limited partner returns to depend on diversifiable risk. Our theory shows why the need for investors to motivate VCs alters the negotiations between VCs and entrepreneurs and changes how new firms are priced. The three-way interaction rationalizes the use of high... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Anticipated and Repeated Shocks in Liquid Markets Posted: 11 Jul 2013 10:59 PM PDT We show that Treasury security prices in the secondary market decrease significantly in the few days before Treasury auctions and recover shortly thereafter, even though the time and amount of each auction are announced in advance. These results are linked to dealers' limited risk-bearing capacity and end-investors' imperfect capital mobility, highlighting the important role of frictions even in... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jul 2013 10:59 PM PDT We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and induces efficient intergenerational risksharing. If agents are more risk-averse than log, then an increase in... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: How Do CEOs Matter? The Effect of Industry Expertise on Acquisition Returns Posted: 11 Jul 2013 10:59 PM PDT This paper shows how chief executive officer (CEO) characteristics affect the performance of acquirers in diversifying takeovers. When the acquirer's CEO has previous experience in the target industry, the acquirer's abnormal announcement returns are between 1.2 and 2.0 percentage points larger than those generated by a CEO who is new to the target industry. This outcome is driven by the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Pricing Credit Default Swaps with Observable Covariates Posted: 11 Jul 2013 10:59 PM PDT Observable covariates are useful for predicting default, but several studies question their value for explaining credit spreads. We introduce a discrete-time no-arbitrage model with observable covariates, which allows for a closed-form solution for the value of credit default swaps (CDS). The default intensity is a quadratic function of the covariates, specified such that it is always positive.... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jul 2013 10:59 PM PDT We examine the impact on the quality of a securities market of hiding versus displaying orders that provide liquidity. Display expropriates informational rents from informed agents who trade as liquidity providers. The informed then exit liquidity provision in favor of demanding liquidity where they trade less aggressively. Trading costs to uninformed liquidity demanders are higher, bid-ask... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Jul 2013 05:38 PM PDT We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock market indices across the world, we find that the most efficient markets are... Visit MoneyScience for the Complete Article.    |
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