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The broken buck stops here: Embracing sponsor support in money market fund reform
Fisch, Jill E. - Center for Financial Studies - 2014
Securities and Exchange Commission's (SEC) misguided 2014 reforms responded by potentially exacerbating MMF fragility while … redemptions in a time of crisis. Other reform proposals have similar shortcomings. More fundamentally, the SEC's reforms may … shape of MMF reform has been influenced by a turf war among regulators as the SEC has battled with bank regulators both …
Persistent link: https://www.econbiz.de/10010986421
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News media sentiment and investor behavior
Kräussl, Roman; Mirgorodskaya, Elizaveta - Center for Financial Studies - 2014
This paper investigates the impact of news media sentiment on financial market returns and volatility in the long-term. We hypothesize that the way the media formulate and present news to the public produces different perceptions and, thus, incurs different investor behavior. To analyze such...
Persistent link: https://www.econbiz.de/10011076250
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Value-at-Risk and expected shortfall for rare events
Mittnik, Stefan; Yener, Tina - Center for Financial Studies - 2008
We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture...
Persistent link: https://www.econbiz.de/10010958774
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Value-at-Risk and Expected Shortfall for Rare Events
Mittnik, Stefan; Yener, Tina - Center for Financial Studies - 2008
Abstract. We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for...
Persistent link: https://www.econbiz.de/10005007630
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The role of accounting in the German financial system
Leuz, Christian; Wüstemann, Jens - Center for Financial Studies - 2003
informed. The same cannot be said about outside investors relying primarily on public disclosure. A descriptive analysis of the …
Persistent link: https://www.econbiz.de/10010986429
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The Role of Accounting in the German Financial System
Leuz, Christian; Wüstemann, Jens - Center for Financial Studies - 2003
informed. The same cannot be said about outside investors relying primarily on public disclosure. A descriptive analysis of the …
Persistent link: https://www.econbiz.de/10005120790
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Financial disclosure and market transparency with costly information processing
Di Maggio, Marco; Pagano, Marco - Center for Financial Studies - 2014
superior information-processing ability and trade purely to exploit it. The disclosure of financial information induces a trade … disclosure of fundamentals and trading transparency. Issuers may either under- or over-provide information compared to the …
Persistent link: https://www.econbiz.de/10010961636