MoneyScience News |
- Blog Post: TheFinancialServicesClub: The reports of banks death have been greatly exaggerated
- Published / Preprint: New Evidence on the Financialization of Commodity Markets
- Published / Preprint: Redefining Financial Constraints: A Text-Based Analysis
- Published / Preprint: Dynamics of Innovation and Risk
- Published / Preprint: Modeling Covariance Risk in Merton's ICAPM
- Published / Preprint: Monotonicity of the Stochastic Discount Factor and Expected Option Returns
- Published / Preprint: Robust Econometric Inference for Stock Return Predictability
- Published / Preprint: A Vasicek-type short rate model with memory effect. (arXiv:1504.01542v1 [math.PR])
- Blog Post: iMFdirect: No Puzzle About Weak Business Investment: It's the Economy!
- Log In - The New York Times
- A Guide to Thesis-Writing and a Guide to Life - The New Yorker
- "The Risks Are Very High" Swiss Billionaire Warns "Global Financial Markets Have Never Been This Distorted Before" | Zero Hedge
- The science of why you really should listen to science and experts
- Thoughts on the Editorial Process in Economics and the Social Sciences
| Blog Post: TheFinancialServicesClub: The reports of banks death have been greatly exaggerated Posted: 08 Apr 2015 02:37 AM PDT There are a number of debates that pop-up regularly including the war on cash, the end of the branch and the death of banking. The last one I haven’t blogged about much because it’s irrelevant, but I’ll blog about it today as there are two camps of thought: incumbents and new entrants; and today’s blog is inspired by exactly this argument between Michal Panowicz of mBank (an... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: New Evidence on the Financialization of Commodity Markets Posted: 07 Apr 2015 10:26 PM PDT This paper uses a novel dataset of commodity-linked notes (CLNs) to examine the impact of the flows of financial investors on commodity futures prices. Investor flows into and out of CLNs are passed to and withdrawn from the futures markets via issuers' trades to hedge their CLN liabilities. The flows are not based on information about futures price movements but nonetheless cause increases and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Redefining Financial Constraints: A Text-Based Analysis Posted: 07 Apr 2015 10:26 PM PDT We score 10-K text to obtain annual measures of financial constraints, with separate measures for firms reporting equity and debt financing issues. Equity market constraints are associated with firms funding growth opportunities, have more severe consequences for the firm following large unexpected negative shocks, and are likely driven by informational asymmetries. A significant population of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dynamics of Innovation and Risk Posted: 07 Apr 2015 10:26 PM PDT We study the dynamics of an innovative industry in which agents learn about the likelihood of negative shocks. Managers can exert risk prevention effort to mitigate the consequences of shocks. If no shock occurs, confidence improves, attracting managers to the innovative sector. But, when confidence becomes high, inefficient managers exerting low risk-prevention effort also enter. This stimulates... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Modeling Covariance Risk in Merton's ICAPM Posted: 07 Apr 2015 10:26 PM PDT We propose a new method for constructing the hedge component in Merton's ICAPM that uses a daily summary measure of economic activity to track time-varying investment opportunities. We then use nonparametric projections to compute a robust estimate of the conditional covariance between stock market returns and our daily economic activity index. We find that the new conditional covariance risk... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Monotonicity of the Stochastic Discount Factor and Expected Option Returns Posted: 07 Apr 2015 10:26 PM PDT Evidence shows that the stochastic discount factor (SDF) is not always a downward-sloping function of S&P 500 returns when estimated using options data. In contrast, our results suggest that SDFs as functions of individual stock returns are generally downward sloping. A simple jump-diffusion model can reconcile these empirical findings. The same model also implies a steeper implied-volatility... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Robust Econometric Inference for Stock Return Predictability Posted: 07 Apr 2015 10:26 PM PDT This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We propose a novel testing procedure that (1) robustifies inference to regressors' degree of persistence, (2) accommodates testing the joint predictive ability of financial variables in multiple regression, (3) is easy to implement as it is based on a linear estimation procedure, and... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2015 05:36 PM PDT We introduce a Vasicek-type short rate model which has two additional parameters representing memory effect. This model presents better results in yield curve fitting than the classical Vasicek model. We derive closed-form expressions for the prices of bonds and bond options. Though the model is non-Markov, there exists an associated Markov process which allows one to apply usual numerical... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: No Puzzle About Weak Business Investment: It's the Economy! Posted: 07 Apr 2015 06:47 AM PDT By Aqib Aslam, Daniel Leigh, and Seok Gil Parkread more... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2015 02:52 AM PDT "If Algorithms Know All, How Much Should Humans Help?" http://t.co/6uE3HdaZib — Arthur Charpentier (@freakonometrics) April 6, 2015 Visit MoneyScience for the Complete Article.    |
| A Guide to Thesis-Writing and a Guide to Life - The New Yorker Posted: 07 Apr 2015 02:32 AM PDT In "How to Write a Thesis," Umberto Eco walks students through the craft and rewards of sustained research. http://t.co/aDBmc60Kk8 — moneyscience… Visit MoneyScience for the Complete Article.    |
| Posted: 07 Apr 2015 02:32 AM PDT "The Risks Are Very High" Swiss Billionaire Warns "Global Financial Markets Have Never Been This Distorted Before" http://t.co/UlRaTZNoOT — D. Geromichalos ScD… Visit MoneyScience for the Complete Article.    |
| The science of why you really should listen to science and experts Posted: 07 Apr 2015 02:32 AM PDT "The science of why you really should listen to science and experts" http://t.co/1wH7e44yQ1 — Arthur Charpentier (@freakonometrics) April 6, 2015 Visit MoneyScience for the Complete Article.    |
| Thoughts on the Editorial Process in Economics and the Social Sciences Posted: 07 Apr 2015 02:32 AM PDT Thoughts on the Editorial Process in Economics and the Social Sciences http://t.co/IAjKh0E96w — Marc F. Bellemare (@mfbellemare) April 6, 2015 Visit MoneyScience for the Complete Article.    |
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