MoneyScience News |
- Blog Post: iMFdirect: Time to Act on the G-20 Agenda: The Global Economy Will Thank You
- Published / Preprint: The WACC Fallacy: The Real Effects of Using a Unique Discount Rate
- Published / Preprint: Capital and Labor Reallocation within Firms
- Published / Preprint: A Model of Mortgage Default
- Published / Preprint: A Comparative-Advantage Approach to Government Debt Maturity
- Published / Preprint: Is a VC Partnership Greater Than the Sum of its Partners?
- Published / Preprint: The Impact of Incentives and Communication Costs on Information Production and Use: Evidence from Bank Lending
- Blog Post: TheFinancialServicesClub: Why banks are hated and what to do about it
- World's biggest sovereign wealth fund dumps dozens of coal companies
- Published / Preprint: Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation. (arXiv:1502.01658v1 [q-fin.PM])
| Blog Post: iMFdirect: Time to Act on the G-20 Agenda: The Global Economy Will Thank You Posted: 06 Feb 2015 04:06 AM PST By Christine Lagarderead more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: The WACC Fallacy: The Real Effects of Using a Unique Discount Rate Posted: 06 Feb 2015 02:38 AM PST In this paper, we test whether firms properly adjust for risk in their capital budgeting decisions. If managers use a single discount rate within firms, we expect that conglomerates underinvest (overinvest) in relatively safe (risky) divisions. We measure division relative risk as the difference between the division's asset beta and a firm-wide beta. We establish a robust and significant positive... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Capital and Labor Reallocation within Firms Posted: 06 Feb 2015 02:26 AM PST We document how a shock to investment opportunities at one plant (“treated plant†) spills over to other plants within the same firm, but only if the firm is financially constrained. To provide the treated plant with resources, the firm's headquarters withdraws capital and labor from other plants, especially plants that are relatively less productive, not part of the firm's core industries,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Model of Mortgage Default Posted: 06 Feb 2015 02:26 AM PST In this paper we solve a dynamic model of households' mortgage decisions incorporating labor income, house price, inflation, and interest rate risk. Using a zero-profit condition for mortgage lenders, we solve for equilibrium mortgage rates given borrower characteristics and optimal decisions. The model quantifies the effects of adjustable versus fixed mortgage rates, loan-to-value ratios, and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Comparative-Advantage Approach to Government Debt Maturity Posted: 06 Feb 2015 02:26 AM PST We study optimal government debt maturity in a model where investors derive monetary services from holding riskless short-term securities. In a setting where the government is the only issuer of such riskless paper, it trades off the monetary premium associated with short-term debt against the refinancing risk implied by the need to roll over its debt more often. We extend the model to allow... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Is a VC Partnership Greater Than the Sum of its Partners? Posted: 06 Feb 2015 02:26 AM PST This paper investigates whether individual venture capitalists have repeatable investment skill and the extent to which their skill is impacted by the VC firm where they work. We examine a unique data set that tracks the performance of individual venture capitalists' investments over time and as they move between firms. We find evidence of skill and exit style differences even among venture... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Feb 2015 02:26 AM PST In 2002 and 2003, many Chinese banks implemented reforms that delegated authority to individual loan officers. The change followed China's entrance into the WTO and offers a plausibly exogenous shock to loan officer incentives to produce information. We find that the bank's internal risk rating becomes a stronger predictor of loan interest rates and ex post outcomes after reform. When the loan... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Why banks are hated and what to do about it Posted: 06 Feb 2015 12:59 AM PST I often find headlines around the world that banks are hated, and was reminded of this today when Australian website The Conversation had the headline: Why do people hate bankers? No, really… read more... Visit MoneyScience for the Complete Article.    |
| World's biggest sovereign wealth fund dumps dozens of coal companies Posted: 06 Feb 2015 12:38 AM PST World's biggest sovereign wealth fund dumps dozens of coal companies http://t.co/gGsBqG1enu — moneyscience (@moneyscience) February 6, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 05 Feb 2015 05:36 PM PST It is well known that the out-of-sample performance of Markowitz's mean-variance portfolio criterion can be negatively affected by estimation errors in the mean and covariance. In this paper we address the problem by regularizing the mean-variance objective function with a weighted elastic net penalty. We show that the use of this penalty can be motivated by a robust reformulation of the... Visit MoneyScience for the Complete Article.    |
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