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Institutional Trading Momentum and Mispricing

Bulsiewicz, James - 2017

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

Persistent link: https://www.econbiz.de/10012971888

Total Return Meltdown : The Case for Treating Total Return Swaps as Disguised Secured Transactions

Marks, Colin P. - 2022

Archegos Capital Management, at its height, had $20 billion in assets. But in the spring of 2021, in part through its use of total return swaps, Archegos sparked a $30 billion dollar sell-off that left many of the world’s largest banks footing the bill. Mitsubishi UFJ Group estimated a loss of...

Persistent link: https://www.econbiz.de/10013295797

Will Private-Label Securitization Return?

Dodwell, William J. - 2011

This paper examines the prospect of revitalizing asset-backed and non-agency mortgage-backed securitization markets … that will affect the supply of and demand for mortgage- and asset-backed securities. Incentives for future securitization … the return of private-label securitization, and revival will depend on economic recovery and pending legislation and …

Persistent link: https://www.econbiz.de/10013133418

Broker-dealer risk appetite and commodity returns

Etula, Erkko M. - 2010 - Rev.

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

Persistent link: https://www.econbiz.de/10003947918

Risk and Return in Retail Forex

Karbalaee, Ali - 2013

Retail Forex as an online CFD market is generally known as a high risk area for traders. This study is focused on existing risks and return possibilities in this market. Risks which may threat traders are surveyed through Liquidity, Credit, and Control, plus Market risks. Value at Risk and...

Persistent link: https://www.econbiz.de/10013083734

FTSE/JSE Top 40 Index Long-Term Returns

Kotze, Antonie - 2017

The FTSE/JSE Top 40 Index is the flagship index at the Johannesburg Stock Exchange (JSE). It captures more than 80% of the total market capitalisation of all the shares listed on the JSE. It is tradable and the liquid ALSI future is listed on this index. A superficial view of the long-term...

Persistent link: https://www.econbiz.de/10012955234

Shared Analyst Coverage : Unifying Momentum Spillover Effects

Ali, Usman - 2019

Appendix is available at: "https://ssrn.com/abstract=3395415" https://ssrn.com/abstract=3395415Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of...

Persistent link: https://www.econbiz.de/10012901408

Decreasing Returns to Scale, Fund Flows, and Performance

Harvey, Campbell R. - 2019

Theoretical models imply fund size and performance should be negatively linked. However, empiricists have failed to uncover consistent support for this negative relation. Using a new econometric framework which includes fund-specific sensitivities to decreasing returns to scale, we find a both...

Persistent link: https://www.econbiz.de/10012901686

Interim Fund Performance and Fundraising in Private Equity

Barber, Brad M. - 2018

General partners (GPs) in private equity (PE) report the performance of an existing fund while raising capital for a follow-on fund. Interim performance has large effects on fundraising outcomes; the impact is greatest when backed by exits and for low reputation GPs. Faced with these incentives,...

Persistent link: https://www.econbiz.de/10012938210

Psychological Barrier and Cross-Firm Return Predictability

Huang, Shiyang - 2020

We provide a psychological explanation for the delayed price response to news about economically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms...

Persistent link: https://www.econbiz.de/10012852966

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