MoneyScience News |
- Published / Preprint: Kriging Metamodels for Bermudan Option Pricing. (arXiv:1509.02179v1 [q-fin.CP])
- Blog Post: iMFdirect: Seeking Fairness in the Middle East and North Africa: How Taxation Can Help
- Published / Preprint: The Real Effects of Hedge Fund Activism: Productivity, Asset Allocation, and Labor Outcomes
- Published / Preprint: Board Structure and Monitoring: New Evidence from CEO Turnovers
- Published / Preprint: Restraining Overconfident CEOs through Improved Governance: Evidence from the Sarbanes-Oxley Act
- Published / Preprint: Expected Returns in Treasury Bonds
- Published / Preprint: Exploring Return Dynamics via Corridor Implied Volatility
- Published / Preprint: Dynamic Thin Markets
- Vendor News: Infosys Positioned as a Leader in Everest Groupâs 2015 PEAK Matrix⢠for Independent Testing Services
- Blog Post: TheAlephBlog: How Much is that Asset in the Window?
- Nanotubes open new path toward quantum information technologies - DeepStuff.org
- Published / Preprint: A note on necessary and sufficient conditions in the problem of optimal investment with intermediate consumption. (arXiv:1509.01672v1 [q-fin.PM])
- Published / Preprint: IMF Lending and Economic Growth: An Empirical Analysis of Ukraine. (arXiv:1509.01741v1 [q-fin.EC])
- Published / Preprint: Efficiency and credit ratings: a permutation-information-theory analysis. (arXiv:1509.01839v1 [q-fin.ST])
| Posted: 08 Sep 2015 05:39 PM PDT We investigate two new proposals for the numerical solution of optimal stopping problems within the Regression Monte Carlo (RMC) framework of Longstaff and Schwartz. First, we propose the use of stochastic kriging (Gaussian process) meta-models for fitting the continuation value. Kriging offers a flexible, nonparametric regression model that quantifies fit uncertainty and approximation quality.... Visit MoneyScience for the Complete Article.      |
| Blog Post: iMFdirect: Seeking Fairness in the Middle East and North Africa: How Taxation Can Help Posted: 08 Sep 2015 07:06 AM PDT By Pritha Mitraread more... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Sep 2015 05:16 AM PDT This paper studies the long-term effect of hedge fund activism on firm productivity using plant-level information from the U.S. Census Bureau. A typical target firm improves production efficiency in the 3 years after intervention, with stronger improvements in business strategy-oriented interventions. Plants sold after intervention improve productivity significantly under new ownership,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Board Structure and Monitoring: New Evidence from CEO Turnovers Posted: 08 Sep 2015 05:15 AM PDT We use the 2003 NYSE and NASDAQ listing rules for board and committee independence as a quasinatural experiment to examine the causal relations between board structure and CEO monitoring. Noncompliant firms forced to raise board independence or adopt a fully independent nominating committee significantly increased their forced CEO turnover sensitivity to performance relative to compliant firms.... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Sep 2015 05:15 AM PDT The literature posits that some CEO overconfidence benefits shareholders, though high levels may not. We argue that adequate controls and independent viewpoints provided by an independent board mitigates the costs of CEO overconfidence. We use the concurrent passage of the Sarbanes-Oxley Act and changes to the NYSE/NASDAQ listing rules (collectively, SOX) as natural experiments, to examine... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Expected Returns in Treasury Bonds Posted: 08 Sep 2015 05:15 AM PDT We study risk premium in U.S. Treasury bonds. We decompose Treasury yields into inflation expectations and maturity-specific interest-rate cycles, which we define as variation in yields orthogonal to expected inflation. The short-maturity cycle captures the real short-rate dynamics. Jointly with expected inflation, it comprises the expectations hypothesis (EH) term in the yield curve. Controlling... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Exploring Return Dynamics via Corridor Implied Volatility Posted: 08 Sep 2015 05:15 AM PDT Some fundamental questions regarding equity-index return dynamics are difficult to address due to the latent character of spot volatility. We exploit tick-by-tick option quotes to compute a novel "Corridor Volatility" index which may serve as an observable proxy for short-term volatility. Exploiting this index, we find that equity-index volatility jumps are common, symmetrically distributed, and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dynamic Thin Markets Posted: 08 Sep 2015 05:15 AM PDT Large institutional investors dominate many financial markets. This paper develops a consumption-based model of markets in which all institutional traders recognize their impact on prices. Bilateral (buyer and seller) market power changes efficiency and arbitrage properties of equilibrium. Predictions match temporary and permanent price effects of supply shocks, order breakup, limits to... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Sep 2015 03:17 AM PDT Infosys, (NYSE: INFY), a global leader in consulting, technology, outsourcing and next-generation services, has been named a Leader in the Independent Testing Services â€" PEAK Matrixâ„¢ Assessment and Profile Compendium 2015 report by Everest Group. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: How Much is that Asset in the Window? Posted: 08 Sep 2015 02:16 AM PDT Photo Credit: Kevin Dooley || At the Ice Museum, ALL of the assets are frozen!read more... Visit MoneyScience for the Complete Article.    |
| Nanotubes open new path toward quantum information technologies - DeepStuff.org Posted: 08 Sep 2015 12:43 AM PDT Nanotubes open new path toward quantum information technologies http://t.co/IXF13jBCCz — moneyscience (@moneyscience) September 8, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 07 Sep 2015 05:38 PM PDT We generalize the results of Mostovyi (2015) on the problem of optimal investment with intermediate consumption in a general semimartingale setting. We show that the no unbounded profit with bounded risk condition suffices to establish the key duality relations of utility maximization and, moreover, represents the minimal no-arbitrage-type assumption. Visit MoneyScience for the Complete Article.    |
| Posted: 07 Sep 2015 05:38 PM PDT This study uses Vector Autoregression (VAR) Methodology as well as Vector Error Correction (VEC) Methodology to examine the existence and direction of causality between economic growth and IMF lending for Ukraine. The paper examines the IMF lending data for the period of 1991-2010. Robust empirical analysis indicates that IMF lending has a negative effect of on Ukraine's economic growth in the... Visit MoneyScience for the Complete Article.    |
| Posted: 07 Sep 2015 05:38 PM PDT The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this paper we explore the relationship between credit ratings and informational efficiency of a sample of thirty nine corporate bonds of US oil and energy companies from April 2008 to November 2012. For that purpose, we use a powerful statistical tool relatively new in the financial literature: the... Visit MoneyScience for the Complete Article.    |
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