MoneyScience News |
- Published / Preprint: Illiquidity Contagion and Liquidity Crashes
- Published / Preprint: Frictions in Shadow Banking: Evidence from the Lending Behavior of Money Market Mutual Funds
- Published / Preprint: Co-opted Boards
- Published / Preprint: Attracting Investor Attention through Advertising
- Published / Preprint: Heterogeneity and Stability: Bolster the Strong, Not the Weak
- Published / Preprint: Financial Market Dislocations
- Published / Preprint: Index Option Returns: Still Puzzling
- Blog Post: TheAlephBlog: An Alternative to the Efficient Markets Hypothesis
- Blog Post: TheFinancialServicesClub: Things worth reading: 8th May 2014
- The largest arbitrage ever?
| Published / Preprint: Illiquidity Contagion and Liquidity Crashes Posted: 08 May 2014 12:46 AM PDT Liquidity providers often learn information about an asset from prices of other assets. We show that this generates a self-reinforcing positive relationship between price informativeness and liquidity. This relationship causes liquidity spillovers and is a source of fragility: a small drop in the liquidity of one asset can, through a feedback loop, result in a very large drop in market liquidity... Visit MoneyScience for the Complete Article.      |
| Posted: 08 May 2014 12:46 AM PDT We document frictions in money market mutual fund lending that lead to the transmission of distress across borrowers. Using novel security-level holdings data, we show that funds exposed to Eurozone banks suffered large outflows in mid-2011. These outflows had significant spillovers: non-European issuers relying on such funds raised less short-term debt financing. Issuer characteristics do not... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Co-opted Boards Posted: 08 May 2014 12:46 AM PDT We develop two measures of board composition to investigate whether directors appointed by the CEO have allegiance to the CEO and decrease their monitoring. Co-option is the fraction of the board comprised of directors appointed after the CEO assumed office. As Co-option increases, board monitoring decreases: turnover-performance sensitivity diminishes, pay increases (without commensurate... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Attracting Investor Attention through Advertising Posted: 08 May 2014 12:46 AM PDT This paper provides evidence that managers adjust firm advertising, in part, to attract investor attention and influence short-term stock returns. First, I show that increased advertising spending is associated with a contemporaneous rise in retail buying and abnormal stock returns, and is followed by lower future returns. Second, I document a significant increase in advertising spending prior to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Heterogeneity and Stability: Bolster the Strong, Not the Weak Posted: 08 May 2014 12:46 AM PDT We first study a stylized model of self-fulfilling panic among agents with differing fragilities to strategic risk and show that depending on the severity of coordination problems, the panic trigger threshold can depend only on one type's fragility. We then present a model of systemic panic among financial institutions with heterogeneous fragilities to financial spillovers. Concerns about... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Financial Market Dislocations Posted: 08 May 2014 12:46 AM PDT Dislocations occur when financial markets, operating under stressful conditions, experience large, widespread asset mispricings. This study documents systematic dislocations in world capital markets and the importance of their fluctuations for expected asset returns. Our novel, model-free measure of these dislocations is a monthly average of hundreds of individual abnormal absolute violations of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Index Option Returns: Still Puzzling Posted: 08 May 2014 12:46 AM PDT Previous research indicates mixed conclusions on the potential mispricing of equity index put options. We examine the returns of put writing and other option strategies by comparing historical option returns with returns generated using option pricing models. We find it is generally possible to reject the hypothesis that put returns are consistent with option pricing models. An implication is... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: An Alternative to the Efficient Markets Hypothesis Posted: 07 May 2014 11:38 PM PDT I read an article today, The Fallibility of the Efficient Market Theory: A New Paradigm.  Good article, made e look through a major article cited: An Institutional Theory of Momentum and Reversal.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Things worth reading: 8th May 2014 Posted: 07 May 2014 11:20 PM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.    |
| Posted: 07 May 2014 12:32 PM PDT ValueWalk reports:read more... Visit MoneyScience for the Complete Article.    |
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