MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 8th April 2014
- Blog Post: TheAlephBlog: Tower Group Errata
- Published / Preprint: Emergence of communities on a coevolutive model of wealth interchange. (arXiv:1404.1367v1 [physics.soc-ph])
- Published / Preprint: A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control. (arXiv:1404.1441v1 [math.OC])
- Published / Preprint: Martingale optimal transport in the Skorokhod space. (arXiv:1404.1516v1 [q-fin.PR])
- Published / Preprint: Stochastic Evolution of Stock Market Volume-Price Distributions. (arXiv:1404.1730v1 [q-fin.ST])
- Published / Preprint: Derivative pricing under the possibility of long memory in the supOU stochastic volatility model. (arXiv:1404.1773v1 [q-fin.PR])
- Published / Preprint: Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling. (arXiv:1404.1895v1 [q-fin.CP])
- Published / Preprint: A Message from the Editor
- Published / Preprint: Executive Summaries
- Published / Preprint: Managing for Value 2.0
- Published / Preprint: The Growing Executive Compensation Advantage of Private Versus Public Companies
- Published / Preprint: Three Versions of Perfect Pay for Performance (Or The Rebirth of Partnership Concepts in Executive Pay)
- Published / Preprint: A Look Back at the Beginnings of EVA and ValueâBased Management
- Published / Preprint: What Determines TSR
- Published / Preprint: Integrated Reporting, Quality of Management, and Financial Performance
- Published / Preprint: The Evolution of Private Equity Fund Terms Beyond 2 and 20
- Published / Preprint: The Impact of Sovereign Wealth Funds on Corporate Value and Performance
- Published / Preprint: How Much Do Private Equity Funds Benefit From Debtârelated Tax Shields?
- Published / Preprint: Global Drivers of and Local Resistance to French Shareholder Activism
- Blog Post: WealthandCapitalMarketsBlog: The Next Generation Investor
- Blog Post: iMFdirect: The Evolution of Monetary Policy: More Art and Less Science
| Blog Post: TheFinancialServicesClub: Things worth reading: 8th April 2014 Posted: 08 Apr 2014 03:18 AM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Tower Group Errata Posted: 07 Apr 2014 09:50 PM PDT I try to run an ethical blog here, so when I make mistakes, I admit them.  In this case, I don’t think the errors make a lot of difference to the investment decision, but I will confess to being wrong on  details in my last post.  I made the statement:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2014 05:38 PM PDT We present a model in which we investigate the structure and evolution of a random network that connects agents capable of exchanging wealth. Economic interactions between neighbors can occur only if the difference between their wealth is less than a threshold value that defines the width of the economic classes. If the interchange of wealth cannot be done, agents are reconnected with another... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2014 05:38 PM PDT In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle (SMP) for optimal control of stochastic differential equations (SDEs) of mean-field type, in which the drift and the diffusion coefficients as well as the performance functional depend not only on the state and the control but also on the mean of the... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2014 05:38 PM PDT The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional c?adl?ag processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal transport problem. The constraints are required to hold for very path in the Skorokhod space. This problem has... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2014 05:37 PM PDT Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each $10$-minute lag: the Gamma distribution, the inverse Gamma distribution, the Weibull distribution and the log-normal distribution. The volume-price data, which measures market capitalization, appears to follow a specific statistical... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2014 05:37 PM PDT We consider the supOU stochastic volatility model which is able to exhibit long-range dependence. For this model we give conditions for the discounted stock price to be a martingale, calculate the characteristic function, give a strip where it is analytic and discuss the use of Fourier pricing techniques. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2014 05:37 PM PDT The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adjusting preferences to new economic information is crucial. Thus, after recalling... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Message from the Editor Posted: 07 Apr 2014 01:46 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Executive Summaries Posted: 07 Apr 2014 01:46 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Managing for Value 2.0 Posted: 07 Apr 2014 01:46 PM PDT In Finance 101, future corporate managers are taught that the social mission of public companies is to maximize their own longrun (or “intrinsicâ€) value by investing in all positive net present value (NPV) projectsâ€"that is, projects that are expected to earn at least their opportunity cost of capital. In markets that are reasonably efficient, provided management does an effective job of... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2014 01:46 PM PDT Private companies have a natural governance advantage over public companiesâ€"one that stems mainly from the presence on their boards of their largest owners. This governance advantage is reflected in the greater effectiveness of private company executive pay plans in balancing the goals of management retention and incentive alignment against cost. Private company investorâ€directors are more... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2014 01:46 PM PDT During the 19th century and the first half of the 20th, the compensation of nonâ€founder managers of U.S. public companies was guided by partnership concepts. Andrew Carnegie made his senior staff coowners by selling them stock at book value. And Alfred Sloan gave the senior staff of General Motors a fixed percentage of the company's “economic profit.â€read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Look Back at the Beginnings of EVA and ValueâBased Management Posted: 07 Apr 2014 01:46 PM PDT One of the pioneers of valueâ€based management discusses his life's work in converting principles of modern finance theory into performance evaluation and incentive compensation plans that have been adopted by many of the world's largest and most successful companies, including Cocaâ€Cola in the U.S., SABMiller in London, Siemens in Germany, and the Godrej Group in India. The issues covered... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: What Determines TSR Posted: 07 Apr 2014 01:46 PM PDT Researchers have long wrestled with the question of what determines a company's total shareholder return, or TSR, and their results have been decidedly mixed. Some empirical studies come down in favor of dividends or earnings per share, while others favor return on capital or other profitability measures.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Integrated Reporting, Quality of Management, and Financial Performance Posted: 07 Apr 2014 01:45 PM PDT Interest in integrated reporting continues to grow as its proponents cite a number of significant benefits to both companies and investors. But given the stillâ€early stages of development of this new management practice and the relative paucity of data, establishing empirical confirmation of these claims is difficult. Using RobecomSAM's proprietary database of over 2,000 companies surveyed... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Evolution of Private Equity Fund Terms Beyond 2 and 20 Posted: 07 Apr 2014 01:45 PM PDT With the remarkable increases in the assets under management of private equity firms, the standard compensation arrangement of a 2% management fee plus 20% carried interest has raised concerns of a misalignment of interests between limited partners (LPs) and general partners (GPs). Using a proprietary data set that includes detailed fund terms of 210 PE buyout funds with vintage years between... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Impact of Sovereign Wealth Funds on Corporate Value and Performance Posted: 07 Apr 2014 01:45 PM PDT The last few years have seen a remarkable increase in the participation of sovereign wealth funds (SWFs) in global capital markets. In this article, the author draws on a unique dataset of SWF international holdingsâ€"one that dates back to the year 2002 and includes individual SWF holdings in more than 8,000 companies in 58 countriesâ€"to provide evidence of the impact of SWFs on corporate... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: How Much Do Private Equity Funds Benefit From Debtârelated Tax Shields? Posted: 07 Apr 2014 01:45 PM PDT In 2008 the German government enacted a measure designed to curb excessive leverage in LBOs by limiting taxâ€deductible interest to 30% of EBITDA. And in the U.S., legislators are currently reviewing several regulatory measures, including limits on taxâ€deductible interest, that are intended to reduce the leverage of portfolio companies in U.S. LBO funds.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Global Drivers of and Local Resistance to French Shareholder Activism Posted: 07 Apr 2014 01:45 PM PDT Shareholder activism in France has made significant advances during the past 25 years even as it continues to face formidable sources of local resistance. But if the list of corporate governance improvements since 1989 described by the authors might lead one to conclude that France now has minority shareholder protection and shareholder activism comparable to those of the U.S. or U.K., powerful... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: The Next Generation Investor Posted: 07 Apr 2014 01:16 PM PDT The “next generation investor†will leverage digital channels provided by brokerage firms to better enhance their user experience. These tech savvy investors are well educated and tend to be of high socio-economic status.  As the market evolves and investment needs continue to change, this group will rely on a new breed of interactive, data-driven tools to help them save time and generate... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: The Evolution of Monetary Policy: More Art and Less Science Posted: 07 Apr 2014 07:08 AM PDT By Giovanni Dell’Ariccia and Karl Habermeierread more... Visit MoneyScience for the Complete Article.    |
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