MoneyScience News |
- Published / Preprint: Corporate governance reforms in emerging countries: A case study of Bangladesh
- Published / Preprint: The effects of mandatory IFRS adoption: A review of evidence based on accounting standard setting criteria
- Published / Preprint: Swedish and Dutch listed companiesâ compliance with IAS 36 paragraph 134
- IBM denies plans to cut 26% of workforce
- Published / Preprint: Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance
- Published / Preprint: Learning about Consumption Dynamics
- Published / Preprint: Dividend Dynamics and the Term Structure of Dividend Strips
- Published / Preprint: Change You Can Believe In? Hedge Fund Data Revisions
- Published / Preprint: CEO Connectedness and Corporate Fraud
- Published / Preprint: Innovation, Growth, and Asset Prices
- Blog Post: TheFinancialServicesClub: What are the biggest challenges in banking today?
- Published / Preprint: Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates. (arXiv:1501.06084v1 [q-fin.CP])
- Published / Preprint: Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach. (arXiv:1501.06221v1 [q-fin.PR])
- Blog Post: iMFdirect: What's not to love about free data
- Vendor News: January 26, 2015 - SS&C Technologies Fourth Quarter and 2014 Earnings Release Notice
| Published / Preprint: Corporate governance reforms in emerging countries: A case study of Bangladesh Posted: 27 Jan 2015 02:35 AM PST Visit MoneyScience for the Complete Article.      |
| Posted: 27 Jan 2015 02:35 AM PST Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Swedish and Dutch listed companiesâ compliance with IAS 36 paragraph 134 Posted: 27 Jan 2015 02:35 AM PST Visit MoneyScience for the Complete Article.    |
| IBM denies plans to cut 26% of workforce Posted: 27 Jan 2015 02:12 AM PST IBM denies plans to cut 26% of workforce http://t.co/d0Iap6oHeT — moneyscience (@moneyscience) January 27, 2015 Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance Posted: 27 Jan 2015 01:27 AM PST We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Learning about Consumption Dynamics Posted: 27 Jan 2015 01:27 AM PST This paper characterizes U.S. consumption dynamics from the perspective of a Bayesian agent facing realistic high-dimensional macroeconomic learning problems using standard Markov switching models. Joint parameter, model, and state learning generates substantially different subjective beliefs about consumption dynamics compared to the standard, full-information rational expectations benchmark... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dividend Dynamics and the Term Structure of Dividend Strips Posted: 27 Jan 2015 01:27 AM PST Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. Related, these models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to dividends paid over a prespecified interval) are also upward sloping. However, the empirical evidence suggests otherwise. This discrepancy... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Change You Can Believe In? Hedge Fund Data Revisions Posted: 27 Jan 2015 01:06 AM PST We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly available hedge fund databases. Tracking changes to statements of historical performance recorded between 2007 and 2011, we find that historical returns are routinely revised. These revisions are not merely random or corrections of earlier mistakes; they are partly forecastable by... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: CEO Connectedness and Corporate Fraud Posted: 27 Jan 2015 01:06 AM PST We find connections CEOs develop with top executives and directors through their appointment decisions increase the risk of corporate fraud. Appointment-based CEO connectedness in executive suites and boardrooms increases the likelihood of committing fraud and decreases the likelihood of detection. Additionally, it decreases the expected costs of fraud by helping conceal fraudulent activity,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Innovation, Growth, and Asset Prices Posted: 27 Jan 2015 01:06 AM PST We examine the asset pricing implications of a production economy whose long-term growth prospects are endogenously determined by innovation and R&D. In equilibrium, R&D endogenously drives a small, persistent component in productivity that generates long-run uncertainty about economic growth. With recursive preferences, households fear that persistent downturns in economic growth are accompanied... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: What are the biggest challenges in banking today? Posted: 27 Jan 2015 12:17 AM PST Sometimes social media kicks off great discussions about banking. In fact, most of what I learn, collaborate, corroborate, develop, gain, understand and envisage comes primarily through my social network. The latest dialogue that spawns its own blog entry is from the Facebook Group Next Bank (I’m speaking at Next Bank Europe btw on February 11th … you can be there with 25%... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jan 2015 05:38 PM PST We consider the Heston-CIR stochastic-local volatility model in the context of foreign exchange markets, which contains both a stochastic and a local volatility component for the exchange rate combined with the Cox-Ingersoll-Ross dynamics for the domestic and foreign interest rates. We study a full truncation scheme for simulating the stochastic volatility component and the two interest rates and... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jan 2015 05:38 PM PST This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point approach to analyze the mark-to-market contract value with counterparty risk provision, and show that it is a unique bounded and continuous fixed point via contraction mapping. This leads us to develop an accurate... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: What's not to love about free data Posted: 26 Jan 2015 01:58 PM PST By iMFdirectread more... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jan 2015 01:36 PM PST    |
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