MoneyScience News |
- Blog Post: TheAlephBlog: Against Government-Subsidized 30-Year Mortgages
- Blog Post: TheFinancialServicesClub: Things worth reading: 13th August 2013
- Published / Preprint: Weak reflection principle for spectrally negative L\'evy processes. (arXiv:1308.2250v1 [math.PR])
- Published / Preprint: Optimal investment for all time horizons and Martin boundary of space-time diffusions. (arXiv:1308.2254v1 [q-fin.PM])
- Published / Preprint: Local Variance Gamma and Explicit Calibration to Option Prices. (arXiv:1308.2326v1 [q-fin.PR])
- Published / Preprint: Sources of Entropy in Representative Agent Models
- Published / Preprint: International Asset Pricing with Recursive Preferences
- Published / Preprint: Fire Sales in a Model of Complexity
- Published / Preprint: 12Aug/Progress towards implementing the Principles for financial market infrastructures (PFMIs) report issued by CPSS/IOSCO
- Published / Preprint: 12Aug/Authorities' access to trade repository data report issued by CPSS-IOSCO
- Published / Preprint: 12Aug/Recovery of financial market infrastructures, consultative report issued by CPSS-IOSCO
- No such pipe, or this pipe has been deleted
- Published / Preprint: The Recovery Theorem
- Published / Preprint: The Real Impact of Improved Access to Finance: Evidence from Mexico
- Published / Preprint: Biased Beliefs, Asset Prices, and Investment: A Structural Approach
- Published / Preprint: Economic Nationalism in Mergers and Acquisitions
- Blog Post: Falkenblog: Now Not the Time to Value-Tilt Low Vol
- Published / Preprint: Mean Field Games and Systemic Risk. (arXiv:1308.2172v1 [q-fin.PR])
- Blog Post: ThePracticalQuant: Surfacing anomalies and patterns in Machine Data
- Published / Preprint: Combining Banking with Private Equity Investing
- Published / Preprint: The Skew Risk Premium in the Equity Index Market
- Published / Preprint: Libertarian Paternalism, Information Production, and Financial Decision Making
- Published / Preprint: Estimating the Costs of Issuer-Paid Credit Ratings
| Blog Post: TheAlephBlog: Against Government-Subsidized 30-Year Mortgages Posted: 12 Aug 2013 10:39 PM PDT I don’t think that those who disagree with me are dumb. It is often that the person in question is bright, but has presuppositions that disagree with mine. I am for the most part a libertarian. Thus I don’t often agree with liberals, or the pro-big-business wing of the Republican party. Most of the time, I also favor regulation of financial companies, because when too many of... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Things worth reading: 13th August 2013 Posted: 12 Aug 2013 10:00 PM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Aug 2013 05:31 PM PDT In this paper, we develop a new mathematical technique which can be used to express the joint distribution of a Markov process and its running maximum (or minimum) through the distribution of the process itself. This technique is an extension of the classical reflection principle for Brownian motion, and it is obtained by weakening the assumptions of symmetry required for the standard reflection... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Aug 2013 05:31 PM PDT This paper is concerned with the axiomatic foundation and explicit construction of the optimality criteria which can be used for investment problems with multiple time horizons, or when the time horizon is not known in advance. Both the investment criterion and the optimal strategy are characterized by the Hamilton-Jacobi-Bellman equation on a semi-infinite time interval. In the case when this... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Aug 2013 05:31 PM PDT In some options markets (e.g. commodities), options are listed with only a single maturity for each underlying. In others, (e.g. equities, currencies), options are listed with multiple maturities. In this paper, we provide an algorithm for calibrating a pure jump Markov martingale model to match the market prices of European options of multiple strikes and maturities. This algorithm only requires... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Sources of Entropy in Representative Agent Models Posted: 12 Aug 2013 07:10 AM PDT We propose two data-based performance measures for asset pricing models and apply them to models with recursive utility and habits. Excess returns on risky securities are reflected in the pricing kernel's dispersion and riskless bond yields are reflected in its dynamics. We measure dispersion with entropy and dynamics with horizon dependence, the difference between entropy over several periods... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: International Asset Pricing with Recursive Preferences Posted: 12 Aug 2013 07:10 AM PDT Focusing on data from the U.S. and U.K., we document that both the anomaly identified by Backus and Smith (1993), which concerns the low correlation between consumption differentials and exchange rates, and the forward-premium anomaly, which concerns the tendency of high interest rate currencies to appreciate, have become more severe over time. Taking into account different capital mobility... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Fire Sales in a Model of Complexity Posted: 12 Aug 2013 07:10 AM PDT We present a model of financial crises that stem from endogenous complexity. We conceptualize complexity as banks' uncertainty about the financial network of cross exposures. As conditions deteriorate, cross exposures generate the possibility of a domino effect of bankruptcies. As this happens, banks face an increasingly complex environment since they need to understand a greater fraction of the... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Aug 2013 06:58 AM PDT Press release about the CPSS/IOSCO "Implementation monitoring of PFMIs - Level 1 assessment report" (BIS Press Release 12 August 2013) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 12Aug/Authorities' access to trade repository data report issued by CPSS-IOSCO Posted: 12 Aug 2013 06:58 AM PDT Press release about CPSS and IOSCO publishing the report "Authorities' access to trade repository data" (BIS Press Release 12 August 2013) Visit MoneyScience for the Complete Article.    |
| Posted: 12 Aug 2013 06:58 AM PDT Press release about CPSS and IOSCO issuing the consultative report "Recovery of financial market infrastructures" (BIS Press Release 12 August 2013) Visit MoneyScience for the Complete Article.    |
| No such pipe, or this pipe has been deleted Posted: 12 Aug 2013 06:16 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.    |
| Published / Preprint: The Recovery Theorem Posted: 12 Aug 2013 05:26 AM PDT We can only estimate the distribution of stock returns, but from option prices we observe the distribution of state prices. State prices are the product of risk aversion â€" the pricing kernel â€" and the natural probability distribution. The Recovery Theorem enables us to separate these to determine the market's forecast of returns and risk aversion from state prices alone. Among other things,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Real Impact of Improved Access to Finance: Evidence from Mexico Posted: 12 Aug 2013 05:26 AM PDT This paper provides new evidence on the impact of access to finance on poverty. It highlights an important channel through which access affects poverty â€" the labor market. The paper exploits the opening of Banco Azteca in Mexico, a unique “natural experiment†in which over 800 bank branches opened almost simultaneously in pre-existing Elektra stores. Importantly, the bank has focused on... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Biased Beliefs, Asset Prices, and Investment: A Structural Approach Posted: 12 Aug 2013 05:26 AM PDT We structurally estimate a model in which agents’ information processing biases can cause predictability in firms’ asset returns and investment inefficiencies. We generalize the neoclassical investment model by allowing for two biasesâ€"overconfidence and overextrapolation of trendsâ€"that distort agents’ expectations of firm productivity. Our model's predictions closely match empirical... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Economic Nationalism in Mergers and Acquisitions Posted: 12 Aug 2013 05:26 AM PDT This paper studies government reactions to large corporate merger attempts in the European Union during 1997 to 2006 using hand-collected data. We document widespread economic nationalism in which the government prefers that target companies remain domestically owned rather than foreign-owned. This preference is stronger in times and countries with strong far-right parties and weak governments.... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Now Not the Time to Value-Tilt Low Vol Posted: 11 Aug 2013 07:06 PM PDT Every week, a low volatility researcher has the same epiphany: tilt low volatility towards value. This addresses two pressing issues simultaneously: avoiding overbought securities and adding value alpha. A neat articulation of this view is from Feifei Li of Research Affiliates, who first shows that lots of people are investing in low volatility. Clearly growth in low volatility is rising... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Mean Field Games and Systemic Risk. (arXiv:1308.2172v1 [q-fin.PR]) Posted: 11 Aug 2013 05:38 PM PDT We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of $N$ banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the system depends on the rate of inter-bank borrowing and lending. Systemic risk is characterized by a large number of banks reaching a default threshold by a given... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Surfacing anomalies and patterns in Machine Data Posted: 11 Aug 2013 10:00 AM PDT [A version of this post appears on the O'Reilly Strata blog.]I've been noticing that many interesting big data systems are coming out of IT operations. These are systems that go beyond the standard "capture/measure, display charts, and send alerts". IT operations has long been a source of many interesting big data1 problems and I love that it's beginning to attract the attention2 of many more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Combining Banking with Private Equity Investing Posted: 10 Aug 2013 12:27 AM PDT Bank-affiliated private equity groups account for 30% of all private equity investments. Their market share is highest during peaks of the private equity market, when the parent banks arrange more debt financing for in-house transactions yet have the lowest exposure to debt. Using financing terms and ex post performance, we show overall that banks do not make superior equity investments to those... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Skew Risk Premium in the Equity Index Market Posted: 10 Aug 2013 12:27 AM PDT We develop a new method for measuring moment risk premiums. We find that the skew premium accounts for over 40% of the slope in the implied volatility curve in the S&P 500 market. Skew risk is tightly related to variance risk, in the sense that strategies designed to capture the one and hedge out exposure to the other earn an insignificant risk premium. This provides a new testable... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Libertarian Paternalism, Information Production, and Financial Decision Making Posted: 10 Aug 2013 12:27 AM PDT We develop a theoretical model to analyze the effects of libertarian paternalism on information production and financial decision making. Individuals in our model appreciate the information content of the recommendations made by a social planner. This affects their incentive to gather information, and in turn the speed at which information spreads across market participants, via social learning... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Estimating the Costs of Issuer-Paid Credit Ratings Posted: 10 Aug 2013 12:27 AM PDT We compare the stability and timeliness of credit ratings produced by a traditional issuer-paid rating agency (Moody's Investors Service) and a subscriber-paid rater (Rapid Ratings). Moody's ratings exhibit less volatility but are slower to identify default risk. We control for Moody's aversion to ratings volatility and still find its ratings lag Rapid Ratings'. More importantly, accuracy ratios... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |