MoneyScience News |
- Published / Preprint: 12Nov/Reports on measures to reduce risk-weighted asset variability and on Basel III implementation by the Basel Committee
- Blog Post: TheAlephBlog: Is This Legit?
- Published / Preprint: 12Nov/Information on national discretions published by the Basel Committee
- Blog Post: TheFinancialServicesClub: When we have component-based banking, what happens to the regulator?
- The Rise And Fall Of The Largest Corporation In History
- Five banks fined £2bn for foreign exchange rigging -- live updates
- Published / Preprint: No News Is News: Do Markets Underreact to Nothing?
- Published / Preprint: Media Makes Momentum
- Published / Preprint: Opacity in Financial Markets
- Published / Preprint: Strategic Complementarity, Fragility, and Regulation
- Published / Preprint: What Happens in Nevada? Self-Selecting into Lax Law
- Published / Preprint: Cash-Flow Sensitivities and the Allocation of Internal Cash Flow
- Published / Preprint: Money Left on the Table: An Analysis of Participation in Employee Stock Purchase Plans
- Published / Preprint: Erratum
- Published / Preprint: Exact solution of a generalized version of the Black-Scholes equation. (arXiv:1411.2628v1 [q-fin.CP])
- Published / Preprint: A continuous auction model with insiders and random time of information release. (arXiv:1411.2835v1 [q-fin.PR])
- Published / Preprint: Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That. (arXiv:1411.2950v1 [math-ph])
- Wave of Derivatives Risk & Fraud Scuppers Shipping Company - Wall Street & Technology
- Blog Post: iMFdirect: Mind the Dragon: Latin America's Exposure to China
- Published / Preprint: 11Nov/Cyber resilience in financial market infrastructures
- Dark net 'de-cloak' theories abound
- Algorithmia raises $2.4M from Madrona and others to create marketplace for algorithms - GeekWire
| Posted: 12 Nov 2014 03:07 AM PST Press release about the Basel Committee publishing reports on measures to reduce risk-weighted asset variability and on Basel III implementation (12 November 2014) Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Is This Legit? Posted: 12 Nov 2014 01:57 AM PST Photo Credit: .SilentMode || Doubts that the deal is legitimate?read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 12Nov/Information on national discretions published by the Basel Committee Posted: 12 Nov 2014 01:27 AM PST Press release about the Basel Committee publishing information on national discretions (12 November 2014) Visit MoneyScience for the Complete Article.    |
| Posted: 12 Nov 2014 12:58 AM PST I often talk about component-based banking, most recently in this four-part series in August:read more... Visit MoneyScience for the Complete Article.    |
| The Rise And Fall Of The Largest Corporation In History Posted: 12 Nov 2014 12:22 AM PST The Rise And Fall Of United East India, the largest company in history http://t.co/o04wpJV6wI — moneyscience (@moneyscience) November 12, 2014 Visit MoneyScience for the Complete Article.    |
| Five banks fined £2bn for foreign exchange rigging -- live updates Posted: 12 Nov 2014 12:22 AM PST This one is going to run and run. Five banks fined £2bn for foreign exchange rigging - http://t.co/1SYzxLKqOQ — moneyscience (@moneyscience) November 12,… Visit MoneyScience for the Complete Article.    |
| Published / Preprint: No News Is News: Do Markets Underreact to Nothing? Posted: 11 Nov 2014 08:55 PM PST As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Media Makes Momentum Posted: 11 Nov 2014 08:55 PM PST Relying on 2.2 million articles from forty-five national and local U.S. newspapers between 1989 and 2010, we find that firms particularly covered by the media exhibit, ceteris paribus, significantly stronger momentum. The effect depends on article tone, reverses in the long run, is more pronounced for stocks with high uncertainty, and is stronger in states with high investor individualism. Our... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Opacity in Financial Markets Posted: 11 Nov 2014 08:55 PM PST This paper studies the implications of opacity in financial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g., mutual funds) and opaque funds (e.g., hedge funds) trade transparent assets (e.g., plain-vanilla products) and opaque assets (e.g., structured products). Investors observe neither opaque funds' portfolios nor opaque assets' payoffs. Consistent with... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Strategic Complementarity, Fragility, and Regulation Posted: 11 Nov 2014 08:55 PM PST Fragility is affected by how the balance sheet composition of financial intermediaries, the precision of information signals, and market stress parameters all influence the extent of strategic complementarity among investors' strategies. A solvency and a liquidity ratio are required to control the likelihood of insolvency and illiquidity. The solvency requirement must be strengthened in the face... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: What Happens in Nevada? Self-Selecting into Lax Law Posted: 11 Nov 2014 08:55 PM PST We find that Nevada, the second most popular state for out-of-state incorporations and a state with lax corporate law, attracts firms that are 30–40% more likely to report financial results that later require restatement than firms incorporated in other states, including Delaware. Our results suggest that firms favoring protections for insiders select Nevada as a corporate home, and these... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Cash-Flow Sensitivities and the Allocation of Internal Cash Flow Posted: 11 Nov 2014 08:55 PM PST We study how firms allocate cash flow by estimating the cash-flow sensitivities of various uses of cash flow. We decompose cash flow into a transitory and a permanent component and focus on the allocation of the transitory component, which by construction contains little information about future growth opportunities. We find that more financially constrained firms allocate more transitory cash... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Nov 2014 08:55 PM PST We analyze participation decisions in employee stock purchase plans. These plans allow employees to buy company stock at a discount from the market price and resell it immediately for a sure profit. Although an average employee stands to gain $3,079 annually, only 30% of individuals take advantage of this risk-free opportunity. Participation is more likely among employees who are familiar with... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Nov 2014 08:55 PM PST    |
| Posted: 11 Nov 2014 05:37 PM PST We analyze a generalized version of the Black-Scholes equation depending on a parameter $a\!\in \!(-\infty,0)$. It satisfies the martingale condition and coincides with the Black-Scholes equation in the limit case $a\nearrow 0$. We show that the generalized equation is exactly solvable in terms of Hermite polynomials and numerically compare its solution with the solution of... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Nov 2014 05:37 PM PST In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is announced at a future random (stopping) time. We consider the two cases in which this release time of information is known and not known, respectively, to the... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Nov 2014 05:37 PM PST The extremely useful method of Malliavin calculus has not yet gained adequate popularity because of the complicated analytic apparatus of this method. The author attempts here to propose a simplified algebraic formalism similar to Malliavin calculus, but based on the notion of creation-annihilation operators instead of Malliavin derivative to replace analytic theorems with algebraic computations.... Visit MoneyScience for the Complete Article.    |
| Wave of Derivatives Risk & Fraud Scuppers Shipping Company - Wall Street & Technology Posted: 11 Nov 2014 09:38 AM PST Wave of Derivatives Risk & Fraud Scuppers Shipping Company http://t.co/PF6jOBC2QH — wallstreettech (@wallstreettech) November 11, 2014 Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Mind the Dragon: Latin America's Exposure to China Posted: 11 Nov 2014 08:59 AM PST By Fabiano Rodrigues Bastos and Bertrand Grussread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 11Nov/Cyber resilience in financial market infrastructures Posted: 11 Nov 2014 08:28 AM PST Press release by the CPMI: Cyber resilience in financial market infrastructures (11 November 2014) Visit MoneyScience for the Complete Article.    |
| Dark net 'de-cloak' theories abound Posted: 11 Nov 2014 05:44 AM PST Dark net experts trade theories on 'de-cloaking' after raids http://t.co/RLdeYQehXE — moneyscience (@moneyscience) November 11, 2014 Visit MoneyScience for the Complete Article.    |
| Algorithmia raises $2.4M from Madrona and others to create marketplace for algorithms - GeekWire Posted: 11 Nov 2014 05:44 AM PST Algorithmia raises $2.4M from Madrona and others to create marketplace for algorithms http://t.co/cgopyfUwT1 — Jeff Robinson (@contrariansmind) November 11,… Visit MoneyScience for the Complete Article.    |
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