MoneyScience News |
- Vendor News: Infosys Positioned as a Leader in Gartnerâs Magic Quadrant for SAP Implementation Services Worldwide, 2015
- Published / Preprint: The Boats That Did Not Sail: Asset Price Volatility in A Natural Experiment
- Published / Preprint: Looking for Someone to Blame: Delegation, Cognitive Dissonance, and the Disposition Effect
- Published / Preprint: The Wall Street Walk when Blockholders Compete for Flows
- Published / Preprint: Internal Capital Markets in Business Groups: Evidence from the Asian Financial Crisis
- Published / Preprint: Financing Constraints and the Amplification of Aggregate Downturns
- Published / Preprint: Capital Structure, Investment, and Fire Sales
- Published / Preprint: Valuation, Adverse Selection, and Market Collapses
- Published / Preprint: On Bounding Credit-Event Risk Premia
- Published / Preprint: Why Are University Endowments Large and Risky?
- Published / Preprint: Optimal Tax Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax
| Posted: 07 Aug 2015 03:06 AM PDT Infosys (NYSE: INFY), a global leader in consulting, technology, outsourcing and next-generation services, today announced that it has been positioned as a leader in Gartner’s Magic Quadrant for SAP Implementation Services, Worldwide, 2015 by Susan Tan. This Magic Quadrant assessed 17 service providers. Visit MoneyScience for the Complete Article.      |
| Published / Preprint: The Boats That Did Not Sail: Asset Price Volatility in A Natural Experiment Posted: 06 Aug 2015 10:07 AM PDT What explains short-term fluctuations of stock prices? This paper exploits a natural experiment from the 18th century in which information flows were regularly interrupted for exogenous reasons. English shares were traded on the Amsterdam exchange and news came in on sailboats that were often delayed because of adverse weather conditions. The paper documents that prices responded strongly to boat... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Aug 2015 09:35 AM PDT We analyze brokerage data and an experiment to test a cognitive dissonance based theory of trading: investors avoid realizing losses because they dislike admitting that past purchases were mistakes, but delegation reverses this effect by allowing the investor to blame the manager instead. Using individual trading data, we show that the disposition effect â€" the propensity to realize past gains... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Wall Street Walk when Blockholders Compete for Flows Posted: 06 Aug 2015 09:35 AM PDT Effective monitoring by equity blockholders is important for good corporate governance. A prominent theoretical literature argues that the threat of block sale (“exit†) can be an effective governance mechanism. Many blockholders are money managers. We show that when money managers compete for investor capital, the threat of exit loses credibility, weakening its governance role. Money... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Aug 2015 09:35 AM PDT This paper examines capital reallocation among firms in Korean business groups (Chaebol.) in the aftermath of the 1997 Asian financial crisis, and the consequences of this capital reallocation for the investment and performance of Chaebol firms. We show that Chaebol transferred cash from low-growth to high-growth member firms, using cross-firm equity investments. This capital reallocation allowed... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Financing Constraints and the Amplification of Aggregate Downturns Posted: 06 Aug 2015 07:35 AM PDT This paper shows that during industry downturns, firms experience significantly greater valuation losses when their industry peers' long-term debt is maturing at the time of the shocks. Across a range of tests, the analysis addresses the endogenous determination of peer debt-maturity structure. Overall, the evidence suggests that the negative externalities financially constrained firms impose on... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Capital Structure, Investment, and Fire Sales Posted: 06 Aug 2015 07:35 AM PDT We study a dynamic general equilibrium model in which firms choose their investment level and capital structure, trading off the tax advantages of debt against the risk of costly default. Bankruptcy costs are endogenous, as bankrupt firms are forced to liquidate their assets, resulting in a fire sale if the market is illiquid. When the corporate income tax rate is positive, firms have a unique... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Valuation, Adverse Selection, and Market Collapses Posted: 06 Aug 2015 07:35 AM PDT We study a market for funding real investment where valuation—meaning investors devoting resources to acquiring information about future payoffs—creates an adverse selection problem. Unlike previous models, more valuation is associated with lower market prices and so greater returns to valuation. This strategic complementarity in the capacity to do valuation generates multiple... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: On Bounding Credit-Event Risk Premia Posted: 06 Aug 2015 07:35 AM PDT Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market portfolio. When this "contagion" channel is introduced within a general equilibrium framework for an economy comprising a large number of firms,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Why Are University Endowments Large and Risky? Posted: 06 Aug 2015 07:35 AM PDT We build a model of universities combining their real production decisions with their choice of endowment size and asset allocation. Variation in opportunity cost, that is, the productivity of internal projects, has a first-order effect on these choices. Adding the UPMIFA-mandated 7% payout constraint, the endowment size and asset allocations match those empirically observed. This constraint has... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal Tax Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax Posted: 06 Aug 2015 07:35 AM PDT We develop an optimal tax-timing model that takes into account asymmetric long-term and short-term tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to the existing literature, this model can help explain why many investors not only defer short-term capital losses to long term but also defer large long-term capital gains and losses. Because the... Visit MoneyScience for the Complete Article.    |
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