MoneyScience News |
- Published / Preprint: Repo Runs
- Published / Preprint: Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
- Published / Preprint: Financial Flexibility, Risk Management, and Payout Choice
- Published / Preprint: Resource Allocation within Firms and Financial Market Dislocation: Evidence from Diversified Conglomerates
- Published / Preprint: Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Regulation
- Published / Preprint: The Growth and Limits of Arbitrage: Evidence from Short Interest
- Blog Post: TheAlephBlog: On the Structure of Berkshire Hathaway, Part 2, the Harney Investment Trust
- Blog Post: TheFinancialServicesClub: Digital wallets will process all the money on earth by 2025
- What Are the Crucial Issues for Todayâs Banking Industry?
- Capital Fund Management & Imperial College create the CFM-Imperial Institute of Quantitative Finance
| Published / Preprint: Repo Runs Posted: 14 Mar 2014 06:37 AM PDT The recent financial crisis has shown that short-term collateralized borrowing may be a highly unstable source of funds in times of stress. In this paper, we develop a dynamic equilibrium model and analyze under what conditions such instability can be a consequence of market-wide changes in expectations. We derive a liquidity constraint and a collateral constraint that determine whether such... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Stock Return Serial Dependence and Out-of-Sample Portfolio Performance Posted: 14 Mar 2014 06:36 AM PDT We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike contrarian and momentum portfolios, an arbitrage portfolio based on the VAR model attains positive expected... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Financial Flexibility, Risk Management, and Payout Choice Posted: 14 Mar 2014 06:36 AM PDT Both risk management and payout decisions affect a firm's financial flexibility—the ability to avoid costly financial distress as well as underinvestment. We provide evidence of substitution between hedging and payout decisions using samples of both financial and nonfinancial firms. We find that a more flexible distribution, favoring repurchases over dividends, is negatively related to... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Mar 2014 06:36 AM PDT We argue and demonstrate that resource allocation within firms' internal capital markets provides an important force countervailing financial market dislocation. We estimate a structural model of internal capital markets to separately identify and quantify the forces driving the reallocation decision and illustrate how these forces interact with external capital market stress. The weaker... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Mar 2014 06:36 AM PDT We investigate the effect of ambiguity about hedge fund investment strategies on asset prices and aggregate welfare. We model some traders (mutual funds) as facing ambiguity about the equilibrium trading strategies of other traders (hedge funds). This ambiguity limits the ability of mutual funds to infer information from prices and has negative effects on market outcomes. We use this analysis to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Growth and Limits of Arbitrage: Evidence from Short Interest Posted: 14 Mar 2014 06:36 AM PDT We develop a novel methodology to infer the amount of capital allocated to quantitative equity arbitrage strategies. Using this methodology, which exploits time-variation in the cross-section of short interest, we document that the amount of capital devoted to value and momentum strategies has grown significantly since the late 1980s. We provide evidence that this increase in capital has resulted... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On the Structure of Berkshire Hathaway, Part 2, the Harney Investment Trust Posted: 14 Mar 2014 05:12 AM PDT In Omaha, there is Farnam Street. Â Among value investors, it is well-known, because the small main office of Berkshire Hathaway [BRK] is located there. Â Less well known is Harney Street, but from an insurance standpoint it is important, because Berkshire Hathaway’s largest insurance subsidiary, National Indemnity, is located there. Â One of the major assets of National Indemnity is the... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Digital wallets will process all the money on earth by 2025 Posted: 14 Mar 2014 05:12 AM PDT Another presentation that surprised me in Oslo came from Tor Jacobsen, CEO of TSM Nordic.read more... Visit MoneyScience for the Complete Article.    |
| What Are the Crucial Issues for Todayâs Banking Industry? Posted: 28 Feb 2014 12:24 PM PST read more... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Feb 2014 02:00 AM PST In collaboration with a European hedge-fund, Imperial College London has launched a new research partnership to model risk in financial markets.read more... Visit MoneyScience for the Complete Article.    |
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