MoneyScience News |
- Published / Preprint: Time--consistent investment under model uncertainty: the robust forward criteria. (arXiv:1311.3529v1 [q-fin.PM])
- Blog Post: TheAlephBlog: At the Cato Institute Monetary Policy Conference, Part 6
- Published / Preprint: Asset Pricing in the Dark: The Cross-Section of OTC Stocks
- Published / Preprint: A Supply Approach to Valuation
- Published / Preprint: Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints
- Published / Preprint: The Flip Side of Financial Synergies: Coinsurance Versus Risk Contamination
- Published / Preprint: Indexing Executive Compensation Contracts
- Published / Preprint: Can Equity Volatility Explain the Global Loan Pricing Puzzle?
- Blog Post: WealthandCapitalMarketsBlog: 12.10.2013: Celent Securities & Investments Webinar: Use of Customer Analytics to Retain and Grow Your Client Base
- Blog Post: TheFinancialServicesClub: Transparency, transparency, transparency
- New in Finance from Wiley - November newsletter
- Oxford Trip
- Published / Preprint: An Excursion-Theoretic Approach to Regulator's Bank Reorganization Problem. (arXiv:1311.3019v1 [q-fin.PR])
Posted: 14 Nov 2013 05:38 PM PST We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and investment horizon specification. It describes the evolution of time-consistent ambiguity averse preferences. read more... Visit MoneyScience for the Complete Article. |
Blog Post: TheAlephBlog: At the Cato Institute Monetary Policy Conference, Part 6 Posted: 14 Nov 2013 05:20 PM PST |
Published / Preprint: Asset Pricing in the Dark: The Cross-Section of OTC Stocks Posted: 14 Nov 2013 11:39 AM PST Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than do listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared with premiums in listed markets, the OTC illiquidity premium is several times higher, the size, value, and volatility premiums are similar, and the... Visit MoneyScience for the Complete Article. |
Published / Preprint: A Supply Approach to Valuation Posted: 14 Nov 2013 11:39 AM PST A new methodology for equity valuation arises from the perspective of managers' supply of capital assets. Under q-theory, managers optimally adjust the supply of assets to changes in their market value. The first-order condition of investment then provides a valuation equation that infers asset prices from managers' costs of supplying the assets. This equation fits well the Tobin's q levels... Visit MoneyScience for the Complete Article. |
Posted: 14 Nov 2013 11:39 AM PST We study dynamic equilibrium in a Lucas economy with two stocks, two heterogeneous constant relative risk aversion investors, and portfolio constraints. We focus on margin and leverage constraints, which restrict access to credit. We find a positive relationship between the amount of leverage in the economy and magnitudes of stock return correlations and volatilities. Tighter constraints generate... Visit MoneyScience for the Complete Article. |
Published / Preprint: The Flip Side of Financial Synergies: Coinsurance Versus Risk Contamination Posted: 14 Nov 2013 11:39 AM PST This paper characterizes when joint financing of two projects through debt increases expected default costs, contrary to conventional wisdom. Separate financing dominates joint financing when risk-contamination losses—that are associated with the contagious default of a well-performing project that is dragged down by the other project's poor performance—outweigh standard coinsurance... Visit MoneyScience for the Complete Article. |
Published / Preprint: Indexing Executive Compensation Contracts Posted: 14 Nov 2013 11:39 AM PST We analyze the efficiency of indexing executive pay by calibrating the standard compensation model to a large sample of U.S. CEOs. The benefits from indexing the strike price of options are small, and fully indexing all options would increase compensation costs by 50% for most firms. Indexing has several effects with overall ambiguous outcome; the quantitatively most important effect is to reduce... Visit MoneyScience for the Complete Article. |
Published / Preprint: Can Equity Volatility Explain the Global Loan Pricing Puzzle? Posted: 14 Nov 2013 11:39 AM PST This paper examines whether unobservable differences in firm volatility are responsible for the global loan pricing puzzle, which is the observation that corporate loan interest rates appear to be lower in Europe than in the United States. We analyze whether equity volatility, an error prone measure of firm volatility, can explain this difference in loan spreads. We show that using equity... Visit MoneyScience for the Complete Article. |
Posted: 14 Nov 2013 10:47 AM PST |
Blog Post: TheFinancialServicesClub: Transparency, transparency, transparency Posted: 14 Nov 2013 06:51 AM PST |
New in Finance from Wiley - November newsletter Posted: 14 Nov 2013 04:06 AM PST |
Posted: 14 Nov 2013 02:39 AM PST |
Posted: 13 Nov 2013 05:38 PM PST The importance of the global financial system cannot be exaggerated. When a large financial institution becomes problematic and is bailed out, that bank is often claimed as "too big to fail". On the other hand, to prevent bank's failure, regulatory authorities adopt the Prompt Corrective Action (PCA) against a bank that violates certain criteria, often measured by its leverage ratio. In this... Visit MoneyScience for the Complete Article. |
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