Hedge fund managers cannot afford to ignore their risk/return profiles, and taking advantage of new technologies is an excellent way to minimize risk and capitalize on various investment styles. As Hedge Fund Analysis and Modeling Using C# demonstrates, the C# programming language is perfectly suited to hedge fund analysis. This book serves as a complete
read more...Hedge Fund Modelling and Analysis: An Object Oriented Approach Using C++
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Speech By Federal Reserve Governor Jerome H. Powell At "CPBS 2016 Pacific Basin Research Conference," Sponsored By The Center For Pacific Basin Studies At The Federal Reserve Bank Of San Francisco, San Francisco, California, November 18, 2016, The Global Trade Slowdown And Its Implications For Emerging Asia
It is a pleasure for me to return to the Center for Pacific Basin Studies here at the San Francisco Fed. The global economy is at a critical juncture today. According to the International Monetary Fund's latest World Economic Outlook, global gross domestic product (GDP) is set to grow at only 3.1 percent this year, the lowest rate of growth since the Global Financial Crisis. Investment and productivity remain subdued, despite extremely low and even negative interest rates in many economies.1 One key aspect of global weakness that is of particular relevance to emerging Asian economies is the sharp slowdown in global trade. This slowdown represents a notable departure from the "normal" times of the past few decades, and is the subject of my remarks today.2
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Tehran Stock Exchange: IFRS For Iranian Listed Companies
Based on the Securities and Exchange Organization’s recent announcement, all listed banks, credit institutes and insurance companies are required to provide their audited annual financial statements for the financial year ending 20 march 2017 both based on IFRS and national Iranian accounting standards.
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Firms and Labor Market Inequality: Evidence and Some Theory -- by David Card, Ana Rute Cardoso, Joerg Heining, Patrick Kline
We survey two growing bodies of research on firm-level drivers of labor market inequality. The first examines how wages are affected by differences in employer productivity. Studies that focus on firm-specific productivity shocks and control for the non-random sorting of workers to firms typically find that a 10% increase in value-added per worker leads to somewhere between a 0.5% and 1.5% increase in wages. Given the wide variation in firm-specific productivity, elasticities of this size suggest that a significant fraction of wage inequality is tied to firm performance. A second literature estimates two-way fixed effects models that rely on the wage changes of people who move between firms to identify firm-specific wage premiums. This literature also concludes that firm pay setting is important for wage inequality, with many studies finding that firm wage effects contribute approximately 20% of the overall variance of wages. To interpret these findings, we develop a model of firm wage setting in which workers have idiosyncratic tastes for different workplaces. We show that simple versions of this model can rationalize the standard two-way fixed effects specification proposed by Abowd, Kramarz and Margolis (1999), and can also match the typical "rent-sharing" elasticities estimated in the literature. Extended versions of the model can potentially explain differences in the wage premiums paid by a given employer to different subgroups of workers.
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Trade Liberalization and Mortality: Evidence from U.S. Counties -- by Justin R. Pierce, Peter K. Schott
We investigate the impact of a large economic shock on mortality. We find that counties more exposed to a plausibly exogenous trade liberalization exhibit higher rates of suicide and related causes of death, concentrated among whites, especially white males. These trends are consistent with our finding that more-exposed counties experience relative declines in manufacturing employment, a sector in which whites and males are disproportionately employed. We also examine other causes of death that might be related to labor market disruption and find both positive and negative relationships. More-exposed counties, for example, exhibit lower rates of fatal heart attacks.
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Extending Industry Specialization through Cross-Border Acquisitions -- by Laurent Fresard, Ulrich Hege, Gordon Phillips
We investigate the role of industry specialization in horizontal cross-border mergers and acquisitions. We find that acquirers from more specialized industries in a country are more likely to buy foreign targets in countries that are less specialized in these same industries. The role of industry specialization in foreign acquisitions is more prevalent when contracting inefficiencies and exporting costs limit arms' length relationships. The economic gains in cross-border deals are larger when specialized acquirers purchase assets in less specialized industries. These results are consistent with an internalization motive for foreign acquisitions, through which acquirers can apply localized intangibles on foreign assets.
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Take the Short Route: Equilibrium Default and Debt Maturity -- by Mark Aguiar, Manuel Amador, Hugo Hopenhayn, Ivan Werning
We study the interactions between sovereign debt default and maturity choice in a setting with limited commitment for repayment as well as future debt issuances. Our main finding is that under a wide range of conditions the sovereign should, as long as default is not preferable, remain passive in long-term bond markets, making payments and retiring long-term bonds as they mature but never actively issuing or buying back such bonds. The only active debt-management margin is the short-term bond market. We show that any attempt to manipulate the existing maturity profile of outstanding long-term bonds generates losses, as bond prices move against the sovereign. Our results hold regardless of the shape of the yield curve. The yield curve captures the average costs of financing at different maturities but is misleading regarding the marginal costs.
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The Impact of Consumer Credit Access on Employment, Earnings and Entrepreneurship -- by Kyle Herkenhoff, Gordon Phillips, Ethan Cohen-Cole
How does consumer credit access impact job flows, earnings, and entrepreneurship? To answer this question, we build a new administrative dataset which links individual employment and entrepreneur tax records to TransUnion credit reports, and we exploit the discrete increase in consumer credit access following bankruptcy flag removal. After flag removal, individuals flow into self-employment. New entrants earn more, borrow significantly using unsecured and secured consumer credit, and are more likely to become an employer business. In addition, after flag removal, non-employed and self-employed individuals are more likely to find unemployment-insured "formal" jobs at larger firms that pay greater wages. These estimates imply that firms believe previously bankrupt workers are 3.8% less productive than non-bankrupt workers, on average. These results suggest that consumer credit access matters for each stage of entrepreneurship and that credit-checks may be limiting formal sector employment opportunities.
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Does The Samaritan's Dilemma Matter? Evidence From U.S. Agriculture -- by Tatyana Deryugina, Barrett Kirwan
The Samaritan's dilemma posits a downside to charity: recipients may rely on free aid instead of their own efforts. Anecdotally, the expectation of free assistance is thought to be important for decisions about insurance and risky behavior in numerous settings, but reliable empirical evidence is scarce. We estimate whether the Samaritan's dilemma exists in U.S. agriculture, where both private crop insurance and frequent federal disaster assistance are present. We find that bailout expectations are qualitatively and quantitatively important for the insurance decision. Furthermore, aid expectations reduce both the amount of farm inputs and subsequent crop revenue.
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Pegxit Pressure: Evidence from the Classical Gold Standard -- by Kris James Mitchener, Goncalo Pina
We develop a simple model that highlights the costs and benefits of fixed exchange rates as they relate to trade, and show that negative export-price shocks reduce fiscal revenue and increase the likelihood of an expected currency devaluation. Using a new high-frequency data set on commodity-price movements from the classical gold standard era, we then show that the model's main prediction holds even for the canonical example of hard pegs. We identify a negative causal relationship between export-price shocks and currency-risk premia in emerging market economies, indicating that negative export-price shocks increased the probability that countries abandoned their pegs.
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An Analysis of the Labor Market for Uber's Driver-Partners in the United States -- by Jonathan V. Hall, Alan B. Krueger
Uber, the ride-sharing company launched in 2010, has grown at an exponential rate. This paper provides the first comprehensive analysis of the labor market for Uber's driver-partners, based on both survey and administrative data. Drivers who partner with Uber appear to be attracted to the platform largely because of the flexibility it offers, the level of compensation, and the fact that earnings per hour do not vary much with the number of hours worked. Uber's driver-partners are more similar in terms of their age and education to the general workforce than to taxi drivers and chauffeurs. Most of Uber's driver-partners had full- or part-time employment prior to joining Uber, and many continued in those positions after starting to drive with the Uber platform, which makes the flexibility to set their own hours all the more valuable. Uber's driver-partners also often cited the desire to smooth fluctuations in their income as a reason for partnering with Uber.
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Multilateral Trade Bargaining and Dominant Strategies -- by Kyle Bagwell, Robert W. Staiger
Motivated by GATT bargaining behavior and renegotiation rules, we construct a three-country, two-good general-equilibrium model of trade and examine multilateral tariff bargaining under the constraints of non-discrimination and multilateral reciprocity. We allow for a general family of government preferences and identify bargaining outcomes that can be implemented using dominant strategy proposals for all countries. In the implementation, tariff proposals are followed by multilateral rebalancing, a sequence that is broadly consistent with observed patterns identified by Bagwell, Staiger and Yurukoglu (2016) in the bargaining records for the GATT Torquay Round. The resulting bargaining outcome is efficient relative to government preferences if and only if the initial tariff vectors position the initial world price at its "politically optimal" level. In symmetric settings, if the initial tariffs correspond to Nash tariffs, then the resulting bargaining outcome is efficient and ensures greater-than-Nash trade volumes and welfares for all countries. We also highlight relationships between our work and previous research that examines strategy-proof rationing rules in other economic settings.
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Shifting College Majors in Response to Advanced Placement Exam Scores -- by Christopher Avery, Oded Gurantz, Michael Hurwitz, Jonathan Smith
Mapping continuous raw scores from millions of Advanced Placement examinations onto the 1 to 5 integer scoring scale, we apply a regression discontinuity design to understand how students' choice of college major is impacted by receiving a higher integer score despite similar exam performance to students who earned a lower integer score. Attaining higher scores increases the probability that a student will major in that exam subject by approximately 5 percent (0.64 percentage points), with some individual exams demonstrating increases in major choice by as much as 30 percent. These direct impacts of a higher score explain approximately 11 percent of the unconditional 64 percent (5.7 percentage points) gap in the probability of majoring in the same subject as the AP exam when attaining a 5 versus a 4. We estimate that a substantial portion of the overall effect is driven by behavioral responses to the positive signal of receiving a higher score.
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The Impact of Emerging Market Competition on Innovation and Business Strategy -- by Lorenz Kueng, Nicholas Li, Mu-Jeung Yang
How do firms in high-income countries adjust to emerging market competition? We estimate how a representative panel of Canadian firms adjusts innovation activities, business strategies, and exit in response to large increases in Chinese imports between 1999 and 2005. On average, process innovation declines more strongly than product innovation. In addition, initially more differentiated firms that survive the increase in competition have better performance ex-post, but are ex-ante more likely to exit. Differentiation therefore does not ensure insulation against competitive shocks but instead increases risk.
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Macro Risks and the Term Structure of Interest Rates -- by Geert Bekaert, Eric Engstrom, Andrey Ermolov
We extract aggregate supply and aggregate demand shocks for the US economy from macroeconomic data on inflation, real GDP growth, core inflation and the unemployment gap. We first use unconditional non-Gaussian features in the data to achieve identification of these structural shocks while imposing minimal economic assumptions. We find that recessions in the 1970s and 1980s are better characterized as driven by supply shocks while later recessions were driven primarily by demand shocks. The Great Recession exhibited large negative shocks to both demand and supply. We then use conditional (time-varying) non-Gaussian features of the structural shocks to estimate "macro risk factors" for supply and demand shocks that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and demand shocks. The Great Moderation, a general decline in the volatility of many macroeconomic time series since the 1980s, is mostly accounted for by a reduction in the good demand variance risk factor. In contrast, the risk factors driving bad variance for both supply and demand shocks, which account for most recessions, show no secular decline. Finally, we find that macro risks significantly contribute to the variation in yields, bond risk premiums and the term premium. While overall bond risk premiums are counter-cyclical, an increase in bad demand variance is associated with lower risk premiums on bonds.
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Pseudo-wealth and Consumption Fluctuations -- by Martin Guzman, Joseph E. Stiglitz
This paper provides an explanation for situations in which the state variables describing the economy do not change, but aggregate consumption experiences significant changes. We present a theory of pseudo-wealth--individuals' perceived wealth that is derived from heterogeneous beliefs and expectations of gains in a bet. This wealth is divorced from real assets that may exist in society. The creation of a market for bets will imply positive pseudo-wealth. Changes in the differences of prior beliefs will lead to changes in expected wealth and hence to changes in consumption, implying ex-post intertemporal individual and aggregate consumption misallocations and instabilities. Thus, in the environment we describe, completing markets increases macroeconomic volatility, raising unsettling welfare questions.
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The Theory of Credit and Macro-economic Stability -- by Joseph E. Stiglitz
In the aftermath of the Great Recession, there is a growing consensus, even among central bank officials, concerning the limitations of monetary policy. This paper provides an explanation for the ineffectiveness of monetary policy, and in doing so provides a new framework for thinking about monetary policy and macro-economic activity. What matters is not so much the money supply or the T-bill interest rate, but the availability of credit, and the terms at which credit is made available. The latter variables may not move in tandem with the former. In particular, the spread between the T bill rate and the lending rate may increase, so even as the T bill rate decreases, the lending rate increases. An increase in credit availability may not lead to more spending on produced goods, but increased prices for land or other fixed assets; it can go to increased margins associated with increases in speculative activity; or it may go to spending abroad rather than at home. The paper explains the inadequacy of theories based on the zero low bound, and argues that the ineffectiveness of monetary policy is more related to the multiple alternative uses--beyond the purchase of domestically produced goods--of additional liquidity and to its adverse distributional consequences. The paper shows that while monetary policy is less effective than has been widely presumed, it is also more distortionary, identifying several distinct distortions.
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Research Methods For Business: A Skill Building Approach Seventh Edition WileyPLUS Learning Space Card
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LSEG To Acquire Mergent Inc.
London Stock Exchange Group (LSEG) today announces that it has signed an agreement to acquire 100 per cent of the issued share capital of Mergent’s holding company (the “Transaction”). The Mergent business will form part of LSEG’s Information Services Division, which includes FTSE Russell, a global leader in indexes, and a range of real time and reference data products, such as SEDOL, UnaVista and RNS. Completion of the Transaction, which is expected to occur by 31 January 2017, is conditional on, among other things, expiration or termination of the waiting period under the US Hart-Scott-Rodino Act. The terms of the Transaction have not been disclosed.
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ICBC Singapore Adopts Thomson Reuters Electronic Trading
Industrial and Commercial Bank of China Limited (ICBC) Singapore Branch has adopted Thomson Reuters FX e-commerce solution Electronic Trading to strengthen its presence in the foreign exchange market. ICBC is the first Chinese bank to adopt this next generation solution from Thomson Reuters.
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