MoneyScience News |
- Blog Post: TheAlephBlog: Sorted Weekly Tweets
- Published / Preprint: Duration of Executive Compensation
- Published / Preprint: Time-Varying Fund Manager Skill
- Published / Preprint: Noise as Information for Illiquidity
- Published / Preprint: Borrow Cheap, Buy High? The Determinants of Leverage and Pricing in Buyouts
- Published / Preprint: Country Size, Currency Unions, and International Asset Returns
- Published / Preprint: Dynamic Trading with Predictable Returns and Transaction Costs
| Blog Post: TheAlephBlog: Sorted Weekly Tweets Posted: 26 Jul 2013 10:49 PM PDT Rest of the Worldread more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Duration of Executive Compensation Posted: 26 Jul 2013 08:27 AM PDT Extensive discussions on the inefficiencies of “short-termism†in executive compensation notwithstanding, little is known empirically about the extent of such short-termism. We develop a novel measure of executive pay duration that reflects the vesting periods of different pay components, thereby quantifying the extent to which compensation is short-term. We calculate pay duration in various... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Time-Varying Fund Manager Skill Posted: 26 Jul 2013 08:27 AM PDT We propose a new definition of skill as general cognitive ability to pick stocks or time the market. We find evidence for stock picking in booms and market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the market well in recessions. These fund managers significantly outperform other funds and passive benchmarks. Our results suggest a new... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Noise as Information for Illiquidity Posted: 26 Jul 2013 08:27 AM PDT We propose a market-wide liquidity measure by exploiting the connection between the amount of arbitrage capital in the market and observed “noise†in U.S. Treasury bondsâ€"the shortage of arbitrage capital allows yields to deviate more freely from the curve, resulting in more noise in prices. Our noise measure captures episodes of liquidity crises of different origins across the financial... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Borrow Cheap, Buy High? The Determinants of Leverage and Pricing in Buyouts Posted: 26 Jul 2013 08:27 AM PDT Private equity funds pay particular attention to capital structure when executing leveraged buyouts, creating an interesting setting for examining capital structure theories. Using a large, international sample of buyouts from 1980 to 2008, we find that buyout leverage is unrelated to the cross-sectional factors, suggested by traditional capital structure theories, that drive public firm... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Country Size, Currency Unions, and International Asset Returns Posted: 26 Jul 2013 08:27 AM PDT Differences in real interest rates across developed economies are puzzlingly large and persistent. I propose a simple explanation: bonds issued in the currencies of larger economies are expensive because they insure against shocks that affect a larger fraction of the world economy. I show that, indeed, differences in the size of economies explain a large fraction of the cross-sectional variation... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dynamic Trading with Predictable Returns and Transaction Costs Posted: 26 Jul 2013 08:27 AM PDT We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current aim. Specifically, the optimal updated portfolio is a linear combination of the existing portfolio and... Visit MoneyScience for the Complete Article.    |
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