The Financialization of Chinese Commodity Markets
Publication date: Available online 22 January 2020Source: Finance Research LettersAuthor(s): Baochen Yang, Yingjian Pu, Yunpeng Su
View ArticleIs 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...
View ArticleOpening Statement: Inaugural Meeting of the Asset Management Advisory Committee
Dalia Blass Opening Statement: Inaugural Meeting of the Asset Management Advisory Committee
View ArticleOver $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...
View ArticleShorting in Speculative Markets
ABSTRACT In models of trading with heterogeneous beliefs following HarrisonâKreps, shortâselling is prohibited and agents face constant marginal costsâofâcarry. The resale option guarantees...
View ArticleCan Unemployment Insurance Spur Entrepreneurial Activity? Evidence From France
ABSTRACT We evaluate the effect of downside insurance on selfâemployment. We exploit a large scale reform of French unemployment benefits which insured unemployed workers starting businesses. The...
View ArticleHigh�Frequency Trading and Market Performance
ABSTRACT We study the consequences of, and potential policy responses to, highâfrequency trading (HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate HFT,...
View ArticleInsider Investment Horizon
ABSTRACT We examine the relation between insidersâ investment horizon and the information content of their trades with respect to future stock returns. We conjecture that an insider's investment...
View ArticleFalse 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...
View ArticleCAIA Alternative Viewpoint: Risk Parity
Mean variance optimization (MVO) is a simple, yet well-regarded asset allocation technique designed to create a portfolio that maximizes itâs expected level of return for a given level of standard...
View ArticleStatistical 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....
View ArticleA 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...
View ArticleEstimating 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...
View ArticleThe 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...
View ArticleTaming 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 highâdimensional set of existing factors...
View ArticleSEC 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...
View ArticleSEC Publishes Annual Reports on Credit Rating Agencies
Two annual SECÂ 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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