MoneyScience News

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• Blog Post: TheAlephBlog: Book Review: Taking Down the Lion
• Vendor News: Fidessa empowers investment managers with comprehensive business workflow
• Published / Preprint: Cross-correlations in coupled heterogeneous Brownian motions. (arXiv:1407.2031v1 [q-fin.ST])
• Published / Preprint: A Message from the Editor
• Published / Preprint: Executive Summaries
• Published / Preprint: Pick Your PoisonâFragmentation or Market Power? An Analysis of RegNMS, High Frequency Trading, and Securities Market Structure
• Published / Preprint: Systematic Policy and Forward Guidance at the Fed
• Published / Preprint: Another Look at Bookbuilding, Auctions, and the Future of the IPO Process
• Published / Preprint: Economic Growth and Inequality: Why It Matters and What's Coming Next
• Published / Preprint: Is There a Better Way to Examine Income Inequality?
• Published / Preprint: A South African Success Story: Excellence in the Corporate Use of Capital and Its Social Benefits
• Published / Preprint: Attracting LongâTerm Investors Through Integrated Thinking and Reporting: A Clinical Study of a Biopharmaceutical Company
• Published / Preprint: Mechanisms of Board Turnover: Evidence From Backdating
• Published / Preprint: Do Bond Covenants Affect Borrowing Costs?
• Published / Preprint: More Evidence That Corporate R&D Investment (and Effective Boards) Can Increase Firm Value
• Published / Preprint: 2013 Nobel Prize Revisited: Do Shiller's Models Really Have Predictive Power?
• Erasmus For Open Data

Blog Post: TheAlephBlog: Book Review: Taking Down the Lion Posted: 09 Jul 2014 03:01 AM PDT This is a tough book for me to review.  The credit distress of Tyco caused me considerable stress, and let me explain to you how that was.read more... Visit MoneyScience for the Complete Article.

Vendor News: Fidessa empowers investment managers with comprehensive business workflow Posted: 09 Jul 2014 12:58 AM PDT

Published / Preprint: Cross-correlations in coupled heterogeneous Brownian motions. (arXiv:1407.2031v1 [q-fin.ST]) Posted: 08 Jul 2014 05:40 PM PDT We used a set of coupled Brownian motions to sample cross-correlation matrices. The spectral properties of this ensemble of random matrices are shown to be in agreement with some stylized facts of financial markets. Through the presented model formulas are given for the analysis of heterogeneous time-series. Furthermore evidence for a localization transition in eigenvectors related to small... Visit MoneyScience for the Complete Article.

Published / Preprint: A Message from the Editor Posted: 08 Jul 2014 11:47 AM PDT Visit MoneyScience for the Complete Article.

Published / Preprint: Executive Summaries Posted: 08 Jul 2014 11:47 AM PDT Visit MoneyScience for the Complete Article.

Published / Preprint: Pick Your PoisonâFragmentation or Market Power? An Analysis of RegNMS, High Frequency Trading, and Securities Market Structure Posted: 08 Jul 2014 11:47 AM PDT The publication of Michael Lewis's has intensified an already contentious debate over high frequency trading (HFT). But the causes that have given rise to HFT are more complicatedâ€"and the general economic consequences far more positiveâ€"than at least the popular accounts (including Lewis's own) of the book would suggest. While directing much of its attention to the powerful computers and... Visit MoneyScience for the Complete Article.

Published / Preprint: Systematic Policy and Forward Guidance at the Fed Posted: 08 Jul 2014 11:47 AM PDT The President of the Federal Reserve Bank of Philadelphia argues that the Federal Open Market Committee, by operating with a set of rules or guidelines and clearly stated objectives, could eliminate much of the second guessing about what it is doing and why, and the associated volatility in markets. The author's preference is that the FOMC formulate its policy as a “reaction function” that... Visit MoneyScience for the Complete Article.

Published / Preprint: Another Look at Bookbuilding, Auctions, and the Future of the IPO Process Posted: 08 Jul 2014 11:47 AM PDT In an earlier series of articles published in this journal, one of the three authors of this article predicted the rise of auction IPOs, possibly to the point of displacing the traditional bookbuilding process for pricing and allocating IPOs, only to find himself forced to explain in later articles the continuing preference of issuers for the conventional IPO process. In a 1999 article, for... Visit MoneyScience for the Complete Article.

Published / Preprint: Economic Growth and Inequality: Why It Matters and What's Coming Next Posted: 08 Jul 2014 11:47 AM PDT This article makes the case that the recent rise in income inequality in OECD countries reflects profound changes in the economic model that previously resulted in growth, prosperity, and social progress during the second half of the last century. The author begins by citing French economist Thomas Piketty's identification of the key driver of rising income inequality as the recent sharp increase... Visit MoneyScience for the Complete Article.

Published / Preprint: Is There a Better Way to Examine Income Inequality? Posted: 08 Jul 2014 11:47 AM PDT Dividing U.S. tax returns into half‐millionaires (those reporting adjusted gross income (AGI) of $500,000 or more in a given year) and their complement allows greater use of IRS data on income sources than is possible with an analysis that examines a fixed percentage of returns, such as the top one percent. Contrary to popular perception and media rhetoric, the inflation‐adjusted difference... Visit MoneyScience for the Complete Article.

Published / Preprint: A South African Success Story: Excellence in the Corporate Use of Capital and Its Social Benefits Posted: 08 Jul 2014 11:47 AM PDT South African companies have made great progress in improving corporate profitability since the nation became a full democracy in 1994. Using the “Cash Flow Return on Investment” (CFROI) method, the authors demonstrate that South African listed companies have been generating world‐beating levels of inflation‐adjusted return on capital over the past decade.read more... Visit MoneyScience for the Complete Article.

Published / Preprint: Attracting LongâTerm Investors Through Integrated Thinking and Reporting: A Clinical Study of a Biopharmaceutical Company Posted: 08 Jul 2014 11:47 AM PDT Faced with a large percentage of investors that chase short‐term returns, companies could benefit by attracting investors with longer‐term horizons and incentives that are more consistent with the long‐term strategy of the company. The managers of most companies take their investor base as a “given” that cannot be changed through their actions or words. Using the case of Shire, a... Visit MoneyScience for the Complete Article.

Published / Preprint: Mechanisms of Board Turnover: Evidence From Backdating Posted: 08 Jul 2014 11:47 AM PDT Regulators and governance scholars often regard the high rates of reelection among those nominated for boards of directors (and the small percentage of nominated directors who lose elections) as persuasive evidence of limited shareholder power. To correct this perceived imbalance against shareholders, some corporate governance advocates have undertaken a number of efforts to reform the director... Visit MoneyScience for the Complete Article.

Published / Preprint: Do Bond Covenants Affect Borrowing Costs? Posted: 08 Jul 2014 11:47 AM PDT High yield bond investors spend a great deal of time studying covenants. They even hire specialized consultants to help them interpret the dense language of indentures. But for all that, does a company's decision to offer strong rather than weak covenantsâ€"or to offer covenants at allâ€"have a measurable impact on its borrowing costs?read more... Visit MoneyScience for the Complete Article.

Published / Preprint: More Evidence That Corporate R&D Investment (and Effective Boards) Can Increase Firm Value Posted: 08 Jul 2014 11:47 AM PDT The authors find that higher R&D expenditures generally lead to both higher expected future cash flow and a lower cost of equity. In addition, they find that the positive connections between R&D spending and higher expected future cash flow and lower cost of equity are stronger in companies with more effective boards (as indicated by measures of director independence and experience). Such... Visit MoneyScience for the Complete Article.

Published / Preprint: 2013 Nobel Prize Revisited: Do Shiller's Models Really Have Predictive Power? Posted: 08 Jul 2014 11:47 AM PDT The authors take a critical view of the investment approach advocated by recent Nobel laureate Robert Shiller. A critic of efficient markets theory, Shiller has proposed that investors, when attempting to determine whether the S&P Index is under‐ or overvalued, should use a P/E ratio whose denominator is the 120‐month moving average of the company's EPS. But the authors find that such an... Visit MoneyScience for the Complete Article.

Erasmus For Open Data Posted: 08 Jul 2014 05:07 AM PDT http://t.co/lmIHiZQYI3 Nantes, France 13-16 September 2014: EU cross-pollination of open data best practices — stefano bertolo (@sclopit) July 8, 2014 Visit MoneyScience for the Complete Article.

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