Optimal Placement in a Limit Order Book
... on price impact is that any trading strategy, especially that involves a large amount of buying and selling within a short period of time, will have an impact on the stock price: too many large orders may depress the price and reduce the potential profit whereas too many small transactions may be co ...
... on price impact is that any trading strategy, especially that involves a large amount of buying and selling within a short period of time, will have an impact on the stock price: too many large orders may depress the price and reduce the potential profit whereas too many small transactions may be co ...
Deconstructing Equity: Public Ownership, Agency Costs, and
... being taken private expanded signficantly. In brief, we argue that private owners, in increasingly complete markets, can transfer risk in discrete slices to counterpartieswho, in turn, can manage or otherwise diversify away those risks they choose to forego, arguably becoming a lower cost substitute ...
... being taken private expanded signficantly. In brief, we argue that private owners, in increasingly complete markets, can transfer risk in discrete slices to counterpartieswho, in turn, can manage or otherwise diversify away those risks they choose to forego, arguably becoming a lower cost substitute ...
Artificial Intelligence Approach to Credit Risk
... Support Vector Machines, Random Forests and Logistic Regression. In addition, we present methodology for statistical and business evaluation and comparison of the aforementioned models. We find that models based on Neural Networks approach (specifically Multi-Layer Perceptron and Radial Basis Functi ...
... Support Vector Machines, Random Forests and Logistic Regression. In addition, we present methodology for statistical and business evaluation and comparison of the aforementioned models. We find that models based on Neural Networks approach (specifically Multi-Layer Perceptron and Radial Basis Functi ...
Weekly Focus - Deflation grabs the headlines again
... than expected in December but it merely reflects a move in US growth from a 4.5% growth pace in Q2/Q3 last year to around 3% growth in Q4 14 and H1 15. As trend growth has likely fallen to around 2-2.5% in recent years, this still reflects a strong US economy. Consumer spending data were strong in Q ...
... than expected in December but it merely reflects a move in US growth from a 4.5% growth pace in Q2/Q3 last year to around 3% growth in Q4 14 and H1 15. As trend growth has likely fallen to around 2-2.5% in recent years, this still reflects a strong US economy. Consumer spending data were strong in Q ...
The Macro Report - Putnam Investments
... as an offer or solicitation for the purchase or sale of any financial instrument, or any Putnam product or strategy. References to specific asset classes and financial markets are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations or investme ...
... as an offer or solicitation for the purchase or sale of any financial instrument, or any Putnam product or strategy. References to specific asset classes and financial markets are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations or investme ...
Value Creation in Private Equity
... Increased exit activity over the past two years expanded the Capital Dynamics proprietary deal database with additional data reported for exits from investments made at the peak of the buyout boom from 2005-2008. With this new data, we gained further insight into how value and private equity alpha w ...
... Increased exit activity over the past two years expanded the Capital Dynamics proprietary deal database with additional data reported for exits from investments made at the peak of the buyout boom from 2005-2008. With this new data, we gained further insight into how value and private equity alpha w ...
Towards understanding what and when households spent ARTICLES
... borrowing capacity when house prices rise, and for some of them that will provide a real increase in immediate consumption possibilities. But for each renter looking to move into the housing market shortly, the increase in house prices also increases the deposit they have to save to enable them to e ...
... borrowing capacity when house prices rise, and for some of them that will provide a real increase in immediate consumption possibilities. But for each renter looking to move into the housing market shortly, the increase in house prices also increases the deposit they have to save to enable them to e ...
Latin America - Scotia Capital
... opportunistic trading activity. Global investors remain in active portfolio rebalancing of their exposure to emerging markets in general and to Latin American assets in particular. It is quite telling that exposure to China’s corporate bond markets has been declining, triggered by fears of excess le ...
... opportunistic trading activity. Global investors remain in active portfolio rebalancing of their exposure to emerging markets in general and to Latin American assets in particular. It is quite telling that exposure to China’s corporate bond markets has been declining, triggered by fears of excess le ...
ESB Dividend Policy Update July 2013
... with respect to ESB. It is expected that this review will redefine a formal dividend policy for the medium to long term. The review is being undertaken by the relevant Government departments and NewERA and the Minister noted that he would engage further with ESB on this process. The Minister noted t ...
... with respect to ESB. It is expected that this review will redefine a formal dividend policy for the medium to long term. The review is being undertaken by the relevant Government departments and NewERA and the Minister noted that he would engage further with ESB on this process. The Minister noted t ...
Shorts and Derivatives in Portfolio Statistics
... obligation, to buy an asset at a predetermined strike price and profit when the asset price is higher than the strike price. Put options give the holder the right to sell an asset at a specific strike price and profit when the market price of the asset is below the strike price. The parties that wri ...
... obligation, to buy an asset at a predetermined strike price and profit when the asset price is higher than the strike price. Put options give the holder the right to sell an asset at a specific strike price and profit when the market price of the asset is below the strike price. The parties that wri ...
CIBC Annual Whistler Institutional Investor Conference
... “should”, “budget"," forecast”, “might”, “will”, “would”, “targets” and similar expressions are often intended to identify forward-looking information, although not all forward-looking information contains these identifying words. The forward-looking information reflects management’s current beliefs ...
... “should”, “budget"," forecast”, “might”, “will”, “would”, “targets” and similar expressions are often intended to identify forward-looking information, although not all forward-looking information contains these identifying words. The forward-looking information reflects management’s current beliefs ...
Managing Interest Rate Risk: Duration GAP and Economic
... Reinvestment Rate Risk and Price Risk Increases in interest rates will increase ...
... Reinvestment Rate Risk and Price Risk Increases in interest rates will increase ...
Client Letter Aug 14
... value. The gap in price and value is a function of market condition as well as information asymmetry that mostly exist in small and medium companies rather than large caps. The strategy was launched in 2011 decline and would be unwound when there are large numbers of promoter dilutions through marke ...
... value. The gap in price and value is a function of market condition as well as information asymmetry that mostly exist in small and medium companies rather than large caps. The strategy was launched in 2011 decline and would be unwound when there are large numbers of promoter dilutions through marke ...
Prospective Interest Rate Differential and Currency Returns
... Mishkin (1992)), this near nonstationarity makes it difficult to empirically estimate the persistence of short rates. In addition, if we estimate a simple auto-regression of short rates, it is likely that we will suffer the well-known “Hurwicz bias” that occurs when the sample size is small. This is ...
... Mishkin (1992)), this near nonstationarity makes it difficult to empirically estimate the persistence of short rates. In addition, if we estimate a simple auto-regression of short rates, it is likely that we will suffer the well-known “Hurwicz bias” that occurs when the sample size is small. This is ...
Why Do Companies Go Public? Evidence From
... underwriting fees. The indirect costs are the management time and effort devoted to conducting the offering and the dilution associated with selling shares at an offer price that is, on average, below the price prevailing in the market shortly after the IPO. These direct and indirect costs affect th ...
... underwriting fees. The indirect costs are the management time and effort devoted to conducting the offering and the dilution associated with selling shares at an offer price that is, on average, below the price prevailing in the market shortly after the IPO. These direct and indirect costs affect th ...
0000355811-15-000053 - Gentex Investor Relations
... Investments (continued) provide increased consistency in how fair value determinations are made under various existing accounting standards that permit, or in some cases, require estimates of fair-market value. This standard also expanded financial statement disclosure requirements about a company’s ...
... Investments (continued) provide increased consistency in how fair value determinations are made under various existing accounting standards that permit, or in some cases, require estimates of fair-market value. This standard also expanded financial statement disclosure requirements about a company’s ...
What drives Financial Distress Risk and Default
... on new debt however, can be a strong signal resulting in rising share prices. Investors may believe that the company issues debt because it is strong enough to bear new debt obligations, and that the management thinks that its shares are undervalued. Therefore, the resulting leverage ratio tend to s ...
... on new debt however, can be a strong signal resulting in rising share prices. Investors may believe that the company issues debt because it is strong enough to bear new debt obligations, and that the management thinks that its shares are undervalued. Therefore, the resulting leverage ratio tend to s ...
Bank Capital Methodology And Assumptions - A
... • The application of a 25% reduction (haircut) of corporate exposure at default (EAD), which reflects our view that undrawn credit commitments contribute significantly to banks' EAD; • Increasing the risk weights for exposures in countries we consider to be higher risk; • Modifying some credit conve ...
... • The application of a 25% reduction (haircut) of corporate exposure at default (EAD), which reflects our view that undrawn credit commitments contribute significantly to banks' EAD; • Increasing the risk weights for exposures in countries we consider to be higher risk; • Modifying some credit conve ...
Corporate Catastrophes, Stock Returns, and Trading Volume
... in a re-evaluation of management Ð which may be positive or negative. This result is largely consistent with modern ®nancial theory which suggests that stock valuation is based on ex ante risk assessments in the context of large portfolios. In such a setting, much of the idiosyncratic risk associate ...
... in a re-evaluation of management Ð which may be positive or negative. This result is largely consistent with modern ®nancial theory which suggests that stock valuation is based on ex ante risk assessments in the context of large portfolios. In such a setting, much of the idiosyncratic risk associate ...
***** 1
... An entity shall assess the probability of expected future economic benefits using reasonable and supportable assumptions that represent management’s best estimate of the economic conditions that will exist over the useful life of the asset. An entity uses judgment to assess the degree of certainty a ...
... An entity shall assess the probability of expected future economic benefits using reasonable and supportable assumptions that represent management’s best estimate of the economic conditions that will exist over the useful life of the asset. An entity uses judgment to assess the degree of certainty a ...
NBER WORKING PAPER SERIES EQUILIBRIUM COMMODITY PRICES WITH
... When the economy is in the investment region, the fixed costs incurred induce a wealth effect which leads all security prices to jump. Since the investment time is perfectly predictable, all financial asset prices must jump by the same amount to rule out arbitrage. However, we find that in equilibri ...
... When the economy is in the investment region, the fixed costs incurred induce a wealth effect which leads all security prices to jump. Since the investment time is perfectly predictable, all financial asset prices must jump by the same amount to rule out arbitrage. However, we find that in equilibri ...