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Efficient Markets and the Law : A Predictable Past and an Uncertain Future
Hu, Henry T. C. - 2012
This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...
Persistent link: https://www.econbiz.de/10013100915
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Pensions : A Complex Landscape
Swarup, Dr. Amarendra - 2010
, despite this spotlight on pensions, many important facets remain badly understood and need to be discussed in greater detail …. Most observers would agree that societies have not yet reached the end of the reform process and that dealing with pensions … pensions. The general issue under consideration is not new. How to structure the future provision of pensions, taking into …
Persistent link: https://www.econbiz.de/10013144559
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Money Market Funds, Bank Runs and the First Mover Advantage
Hannam, Mark - 2013
Several recent reports from regulatory bodies have recommended that money market funds should be required to move from stable to variable net asset valuation pricing, to reduce the risk of first-mover advantage and the risk of a run on the fund. Most money market fund sponsors doubt that this...
Persistent link: https://www.econbiz.de/10013089449
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Improved Analytic VaR that Avoids Previous Inconsistencies
Crousillat, Cesar - 2015
VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...
Persistent link: https://www.econbiz.de/10013014636
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Trading Places : Price Leadership and the Competition for Order Flow
Ibikunle, Gbenga - 2018
We investigate the role of price leadership and informed trading in the competition for order flow between high-tech entrant trading venues and established national trading venues. An analysis of BATS Chi-X Europe (Chi-X), a high-tech entrant, and London Stock Exchange (LSE), an established...
Persistent link: https://www.econbiz.de/10012937832
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A Multiplicative Factor for Analytic VaR to Avoid Previous Inconsistencies
Crousillat, Cesar - 2015
VaR_Delta-Normal is derived from a Put option, named PVaR_Delta-Normal and Expected_Shortfall, PSF_Delta-Normal – the latter a coherent measure – guaranteeing VaR can never be larger than the fund value. Current standard VaR_Delta-Normal uses covariances calculated from the entire...
Persistent link: https://www.econbiz.de/10013009682
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Optimal Benchmarking for Active Portfolio Managers
Lioui, Abraham - 2014
Within an agency theoretic framework adapted to the portfolio delegation issue, we show how to construct optimal benchmarks. In accordance with U.S. regulations, the benchmark-adjusted compensation scheme is taken to be symmetric. The investor's control consists in forcing the manager to adopt...
Persistent link: https://www.econbiz.de/10013054382
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Decentralized Stablecoins and Collateral Risk
Kozhan, Roman; Viswanath-Natraj, Ganesh - 2021
In this paper, we study the mechanisms that govern price stability of MakerDAO's DAI token, the first decentralized stablecoin. DAI works through a set of autonomous smart contracts, in which users deposit cryptocurrency collateral, typically Ethereum, and borrow a fraction of their positions as...
Persistent link: https://www.econbiz.de/10013222444
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Competition for Order flow and Price Discovery : The Curious case of High-tech Entrants
Ibikunle, Gbenga - 2015
The quality of ultra-high frequency quotes submitted to an entrant high-tech market (BATS Chi-X Europe – Chi-X) is compared to those of an established national exchange (London Stock Exchange – LSE). There are intraday variations regarding which platform impounds new information about the...
Persistent link: https://www.econbiz.de/10013033529
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Economies of Scale and Scope in Financial Market Infrastructures
Li, Shaofang - 2017
This article confirms the existence of substantial economies of scale in trading and post-trading financial market infrastructures (FMI), using the panel data of thirty stock exchanges, twenty-nine clearing houses, and twenty-three central securities depositories from thirty-six countries. We...
Persistent link: https://www.econbiz.de/10012965653