En el sitio de la Unión Europea, hay un accesible FAQ sobre la regulación sobre Short Selling y Credit Default Swaps.
¿Sesgos + momentum?, maybe.
Personalmente me quedo con la tabla comparativa -cerca del final- entre la regulacion del Short Selling en USA, EU y Hong Kong.
Tal vez es una serie de post más para finanzas 301, pero los ultimos 3 post de Quantivity hacen un buen capitulo de Hedging.
“The root challenge of two current equity risk and alpha projects boil down to hedging using non-underlying instruments, known as proxy hedging or cross hedging.”
Empirical Quantiles and Proxy Selection
“(…)how to choose an appropriate hedge instrument, especially amongst several alternatives.”
Empirical Copulas and Hedge Basis Risk
“Of particular interest is understanding the dynamics of basis risk under extreme scenarios (both up and down), which are driven by time-varying stochastic joint covariation.”
Equity Premia Around the World
Abstract:
We update our global evidence on the long-term realized equity risk premium, relative to both bills and bonds, in 19 different countries. Our study now runs from 1900 to the start of 2011. While there is considerable variation across countries, the realized equity risk premium was substantial everywhere. For our 19-country World index, over the entire 111 years, geometric mean real returns were an annualized 5.5%; the equity premium relative to Treasury bills was an annualized 4.5%; and the equity premium relative to long-term government bonds was an annualized 3.8%. The expected equity premium is lower, around 3% to 3½% on an annualized basis.
Link al Paper
The Role of Default in Macroeconomics
Abstract
What is the main limitation of much modern macro-economic theory, among the failings pointed out by William R. White at the 2010 Mayekawa Lecture? We argue that the main deficiency is a failure to incorporate the possibility of default, including that of banks, into the core of the analysis. With default assumed away, there can be no role for financial intermediaries, for financial disturbances, or even for money. Models incorporating defaults are, however, harder to construct, in part because the representative agent fiction must be abandoned. Moreover, financial crises are hard to predict and to resolve. All of the previously available alternatives for handling failing systemically important financial institutions (SIFIs) are problematical. We end by discussing a variety of current proposals for improving the resolution of failed SIFIs.
Link al Paper
Equity Yields
Abstract
We study a new data set of prices of traded dividends with maturities up to 10 years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help predict other measures of economic growth such as consumption growth. We relate the dynamics of growth expectations to recent events such as the financial crisis and the earthquake in Japan.
Link al Paper
Decoding Inside Information
Abstract
Exploiting the fact that insiders trade for a variety of reasons, we show that there is predictable, identifiable “routine” insider trading that is not informative for the future of firms. A portfolio strategy that focuses solely on the remaining “opportunistic” traders yields value-weighted abnormal returns of 82 basis points per month, while abnormal returns associated with routine traders are essentially zero. The most informed opportunistic traders are local, non-executive insiders from geographically concentrated, poorly governed firms. Opportunistic traders are significantly more likely to have SEC enforcement action taken against them, and reduce trading following waves of SEC insider trading enforcement.
Link al Paper
FT Alphaville nos regala -en este lunes invernal- dos post excelentes sobre ETFs. Uno digno de la sección Finanzas 101 y el otro sobre cuestiones más “profundas” sobre este tipo de instrumento: ETFs manejados de forma activa. Un tejemaneje de incentivos, donde pelean la trasparencia y la reserva de información.
The fund (Eaton Vance) began the regulatory process to approve five non-transparent actively managed bond ETFs in March 2010, based on highly technical patented processes. In April this year, the Securities and Exchange Commission finally granted the fund manager’s request.
So how did they do the impossible?
In a nutshell, their success lies in the intellectual property they came up with, their patented processes for non-transparent trading.
Aqui esta la patente.
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No olviden el video introductorio a ETFs de la serie Fun & Finance
(Fuente: CapitalSpectator.com)
Vox tiene un post sobre el origen y las implicaciones de las burbujas en el precio de ciertos activos. Parte desde la clásica pregunta: ¿Que es una burbuja?; para terminar enumerando los avances en los modelos que buscan explicarlas.
(…)
Despite the recurrent nature of bubbles and their macroeconomic implications, however, we still lack a stylised model to answer the basic questions:
- What is the origin of bubbly episodes?
- Why are they unpredictable?
- How do bubbles affect consumption, the capital stock, and output?
(…)
(Fuente: Finviz, via Infectious Greed)
Quantitative Finance Club 