MoneyScience News

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• Blog Post: TheAlephBlog: The Rules, Part LIV
• Blog Post: TheFinancialServicesClub: Things worth reading: 12th September 2013
• Published / Preprint: A note on the Fundamental Theorem of Asset Pricing under model uncertainty. (arXiv:1309.2728v1 [q-fin.PR])
• Published / Preprint: A Message from the Editor
• Published / Preprint: Executive Summaries
• Published / Preprint: CEO Pay and Corporate Governance in the U.S.: Perceptions, Facts, and Challenges
• Published / Preprint: How âCompetitive Payâ Undermines Pay for Performance (and What Companies Can Do to Avoid That)
• Published / Preprint: How to Design a Contingent Convertible Debt Requirement That Helps Solve Our TooâBigâtoâFail Problem*
• Published / Preprint: Syndicated Leveraged Loans During and After the Crisis and the Role of the Shadow Banking System
• Published / Preprint: The Future of International Liquidity and the Role of China*
• Published / Preprint: Private Equity and Investment in Innovation: Evidence from Patents
• Published / Preprint: TwoâSided Matching: How Corporate Issuers and Their Underwriters Choose Each Other
• Published / Preprint: Discounted Cash Flow Valuation for Small Cap M&A Integration*
• Blog Post: WealthandCapitalMarketsBlog: Issues with OTC Derivative Market Reforms in Asia
• Published / Preprint: With a Little Help from My (Random) Friends: Success and Failure in Post-Business School Entrepreneurship
• Published / Preprint: The Attractions and Perils of Flexible Mortgage Lending
• Published / Preprint: Managerial Incentives and the Role of Advisors in the Continuous-Time Agency Model
• Published / Preprint: Determinants of Trader Profits in Commodity Futures Markets
• Published / Preprint: On lower and upper bounds for Asian-type options: a unified approach. (arXiv:1309.2383v1 [q-fin.PR])
• Shop the Bloomberg Financial series

Blog Post: TheAlephBlog: The Rules, Part LIV Posted: 11 Sep 2013 10:29 PM PDT When do employee and corporate incentives line up?  Ideally, incentive schemes should reward people with a fraction of the additional profitability that resulted from the additional work that they did.  Difficulties: measurement impossible in many cases, people could receive a bonus when the firm is not profitable, neglects synergies (both positive and negative).read more... Visit MoneyScience for the Complete Article.

Blog Post: TheFinancialServicesClub: Things worth reading: 12th September 2013 Posted: 11 Sep 2013 10:20 PM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.

Published / Preprint: A note on the Fundamental Theorem of Asset Pricing under model uncertainty. (arXiv:1309.2728v1 [q-fin.PR]) Posted: 11 Sep 2013 05:39 PM PDT We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be easily extended to the case in which the \emph{hedging options} are quoted with bid-ask spreads. It turns out that the dual elements have to be martingale measures that need to price the \emph{non-redundant} hedging options correctly. Visit MoneyScience for the Complete Article.

Published / Preprint: A Message from the Editor Posted: 11 Sep 2013 08:11 AM PDT Visit MoneyScience for the Complete Article.

Published / Preprint: Executive Summaries Posted: 11 Sep 2013 08:10 AM PDT Visit MoneyScience for the Complete Article.

Published / Preprint: CEO Pay and Corporate Governance in the U.S.: Perceptions, Facts, and Challenges Posted: 11 Sep 2013 08:10 AM PDT This article brings a broad range of statistical studies and evidence to bear on three common perceptions about the CEO compensation and governance of U.S. public companies: (1) CEOs are overpaid and their pay keeps increasing; (2) CEOs are not paid for their performance; and (3) boards do not penalize CEOs for poor performance.read more... Visit MoneyScience for the Complete Article.

Published / Preprint: How âCompetitive Payâ Undermines Pay for Performance (and What Companies Can Do to Avoid That) Posted: 11 Sep 2013 08:10 AM PDT Almost all proxy statements say that the company's pay programs are designed to achieve pay for performance and to provide competitive pay. While companies assume that these objectives are perfectly compatible, attempts to provide competitive pay often have the effect of undermining pay for performance. As currently practiced, competitive pay means that the company's target pay levels match the... Visit MoneyScience for the Complete Article.

Published / Preprint: How to Design a Contingent Convertible Debt Requirement That Helps Solve Our TooâBigâtoâFail Problem* Posted: 11 Sep 2013 08:10 AM PDT As bank regulatory reform tries to come to grips with the lessons of the financial crisis, several experts have proposed that some form of contingent convertible debt (CoCo) requirement be added to the prudential regulatory toolkit. In this article, the authors show how properly designed CoCos can be used not just to absorb losses, but more importantly to encourage banks to recognize losses and... Visit MoneyScience for the Complete Article.

Published / Preprint: Syndicated Leveraged Loans During and After the Crisis and the Role of the Shadow Banking System Posted: 11 Sep 2013 08:10 AM PDT In an article published in this journal in 1998, Nobel laureate Merton Miller argued that one of the best weapons available to national economies in their defense against the macroeconomic effects of banking crises is the availability of non‐bank financial institutions and productsâ€"or what we now refer to as the “shadow banking system.” Although Miller may have exaggerated the... Visit MoneyScience for the Complete Article.

Published / Preprint: The Future of International Liquidity and the Role of China* Posted: 11 Sep 2013 08:10 AM PDT China has prospered from its strategy of reserve accumulation and related export surplus. But the strategy has drawbacks. Open‐ended reserve accumulation has left the the economy exposed to an eventual devaluation of the dollar, and reliance on exports has left it exposed to a downturn in rich‐world consumption. China thus has an incentive to rethink both halves of its modelâ€"to accumulate... Visit MoneyScience for the Complete Article.

Published / Preprint: Private Equity and Investment in Innovation: Evidence from Patents Posted: 11 Sep 2013 08:10 AM PDT The authors' analysis of the patenting activity of 472 companies that received private equity investments between 1986 and 2005 provides suggestive evidence of an increase in the effectiveness (though not necessarily the quantity) of their innovative activities. After such companies received private equity backing, the patents they applied for received more frequent citations than patents awarded... Visit MoneyScience for the Complete Article.

Published / Preprint: TwoâSided Matching: How Corporate Issuers and Their Underwriters Choose Each Other Posted: 11 Sep 2013 08:10 AM PDT In this article, the authors update and confirm the findings of a 2005 article that was the first to view corporate underwriter choices as the outcome of a two‐sided matching process in which issuers look to the abilities of the underwriters offering their services and underwriters focus on the quality of the issuers that wish to use their services. This view offers a contrast with both the... Visit MoneyScience for the Complete Article.

Published / Preprint: Discounted Cash Flow Valuation for Small Cap M&A Integration* Posted: 11 Sep 2013 08:10 AM PDT Frank Batten rose to the upper ranks of the Forbes 400 by using his Norfolk newspaper as a base to consolidate publications and then later to create a media enterprise, including cable‐TV (which was eventually sold for $1.2 billion) and The Weather Channel (sold for over $3 billion). Batten's success offers a compelling case study of the often pursued but much maligned “roll up” strategy of... Visit MoneyScience for the Complete Article.

Blog Post: WealthandCapitalMarketsBlog: Issues with OTC Derivative Market Reforms in Asia Posted: 11 Sep 2013 06:39 AM PDT The recent trends in the OTC derivative markets are largely driven by regulatory initiatives aiming at reforming this market. The G20 countries addressed the problems in the OTC derivative market and came up with a set of mandates requiring standardized OTC derivatives to be traded on open platforms, and cleared through Central Counterparties (CCP). Trade repositories would capture and maintain... Visit MoneyScience for the Complete Article.

Published / Preprint: With a Little Help from My (Random) Friends: Success and Failure in Post-Business School Entrepreneurship Posted: 11 Sep 2013 12:40 AM PDT How do individuals decide to become entrepreneurs and learn to make optimal entrepreneurial decisions? The concentration of entrepreneurs in regions such as Silicon Valley has stimulated research and policy interest into the influence of peers, but the causal effect is hard to identify empirically. We exploit the exogenous assignment of students into business-school sections to identify the... Visit MoneyScience for the Complete Article.

Published / Preprint: The Attractions and Perils of Flexible Mortgage Lending Posted: 11 Sep 2013 12:40 AM PDT A mortgage program that offered borrowers greater flexibility in the timing of repayments increased a bank's volume by over 35%. Loans in the program exhibited superior performance. Despite this, a regression discontinuity analysis shows that the causal impact of offering flexibility was to attract borrowers to the bank who experienced quadruple the average delinquency rate. These contrasting... Visit MoneyScience for the Complete Article.

Published / Preprint: Managerial Incentives and the Role of Advisors in the Continuous-Time Agency Model Posted: 11 Sep 2013 12:40 AM PDT We explore a continuous-time agency model with double moral hazard. Using a venture capitalist (VC)–entrepreneur relationship where the VC both supplies costly effort and chooses the optimal timing of the initial public offering (IPO), we show that optimal IPO timing is earlier under double moral hazard than under single moral hazard. Our results also indicate that the manager's... Visit MoneyScience for the Complete Article.

Published / Preprint: Determinants of Trader Profits in Commodity Futures Markets Posted: 11 Sep 2013 12:40 AM PDT Using proprietary energy futures position data, we provide evidence that mean hedger profits are negative whereas speculator (especially hedge fund) profits are positive, that traders (whether speculators or hedgers) who hold net positions opposite in sign to likely hedgers in aggregate have higher profits than traders whose net positions align with likely hedgers, and that profits on long... Visit MoneyScience for the Complete Article.

Published / Preprint: On lower and upper bounds for Asian-type options: a unified approach. (arXiv:1309.2383v1 [q-fin.PR]) Posted: 10 Sep 2013 05:30 PM PDT In the context of dealing with financial risk management problems it is desirable to have accurate bounds for option prices in situations when pricing formulae do not exist in the closed form. A unified approach for obtaining upper and lower bounds for Asian-type options, including options on VWAP, is proposed in this paper. The bounds obtained are applicable to the continuous and discrete-time... Visit MoneyScience for the Complete Article.

Shop the Bloomberg Financial series Posted: 09 Sep 2013 12:26 PM PDT Gain the insight of Rosenbaum and Pearl’s combined 30+ years of experience on a multitude of transactions, as well as input received from numerous investment bankers, investment professionals at private equity firms and hedge funds, attorneys, corporate executives, peer authors, and university professors.read more... Visit MoneyScience for the Complete Article.

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