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Inequality and the business cycle: evidence from U.S. survey data

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The Financialization of Chinese Commodity Markets

Publication date: Available online 22 January 2020Source: Finance Research LettersAuthor(s): Baochen Yang, Yingjian Pu, Yunpeng Su

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Is the cash flow sensitivity of cash asymmetric? African evidence

Publication date: Available online 23 January 2020Source: Finance Research LettersAuthor(s): Michael Machokoto, Geofry ArenekeAbstractWe examine whether the cash flow sensitivity of cash is asymmetric...

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Opening Statement: Inaugural Meeting of the Asset Management Advisory Committee

Dalia Blass Opening Statement: Inaugural Meeting of the Asset Management Advisory Committee

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Over $63 Million to Be Returned to Investors in Alleged Real Estate...

The Securities and Exchange Commission today announced that it has obtained a court order authorizing the distribution of over $63 million to investors in connection with a previously filed action.Â...

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Shorting in Speculative Markets

ABSTRACT In models of trading with heterogeneous beliefs following Harrison–Kreps, short‐selling is prohibited and agents face constant marginal costs‐of‐carry. The resale option guarantees...

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Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence From France

ABSTRACT We evaluate the effect of downside insurance on self‐employment. We exploit a large scale reform of French unemployment benefits which insured unemployed workers starting businesses. The...

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High�Frequency Trading and Market Performance

ABSTRACT We study the consequences of, and potential policy responses to, high‐frequency trading (HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate HFT,...

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Insider Investment Horizon

ABSTRACT We examine the relation between insiders’ investment horizon and the information content of their trades with respect to future stock returns. We conjecture that an insider's investment...

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False Positives and Machine Learning

There is a high rate of failure among quant funds. These include smart beta, factor investing, statistical arbitrage, and CTAs. Such false positive strategies are a widespread industry problem. Since...

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CAIA Alternative Viewpoint: Risk Parity

Mean variance optimization (MVO) is a simple, yet well-regarded asset allocation technique designed to create a portfolio that maximizes it’s expected level of return for a given level of standard...

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Statistical mechanics of time series. (arXiv:1907.04925v2 [q-fin.ST] UPDATED)

Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through sets of time series....

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A shrinking horizon optimal liquidation framework with lower partial moments...

In this paper, a novel quasi-multiperiod model for optimal position liquidation in the presence of both temporary and permanent market impact is proposed. Two main features distinguish the proposed...

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Estimating marginal effects of key factors that influence wholesale...

Using a large data set from the Electric Reliability Council of Texas, this study uses quantile regressions and attendant variable selection methods to choose the most important factors that influence...

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The impact of end-user market integration and the smart grid on electricity...

With the help of a mixed complementarity problem formulation that describes a simplified market setting with two competing retailers, this paper analyzes the impact of the pending market changes on...

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Financial literacy and student debt

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Taming the Factor Zoo: A Test of New Factors

ABSTRACT We propose a model selection method to systematically evaluate the contribution to asset pricing of any new factor, above and beyond what a high‐dimensional set of existing factors...

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SEC Charges Husband and Wife with Nearly $1 Billion Ponzi Scheme

The Securities and Exchange Commission today charged a California-based couple with orchestrating a nearly billion-dollar Ponzi scheme involving alternative energy tax credits. According to the SEC's...

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SEC Publishes Annual Reports on Credit Rating Agencies

Two annual SEC staff reports released today highlight the important work of the Office of Credit Ratings in examining and monitoring nationally recognized statistical rating organizations (NRSROs)....

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The role of small bettors in price formation in betting exchanges

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