39,501 research outputs found
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Asset Pricing, Slow-Moving Capital, Monetary Policy, and Inflation
No full textThis dissertation focuses on a major challenge to neoclassical asset pricing theory - the existence of persistent arbitrage mispricing in financial markets. Many scholars, e.g. Liu and Longstaff (2004) and Shleifer and Vishny (2007), have challenged the neoclassical no-arbitrage paradigm. However, the nature of arbitrage mispricing is not yet fully understood and requires further study.The first chapter 'The TIPS--Treasury Bond Puzzle', jointly written with Francis A. Longstaff and Hanno Lustig, analyzes the relative pricing between U.S. Treasury Bonds and Treasury Inflation-Protected Securities (TIPS). We document that Treasury bonds are consistently overpriced relative to TIPS. The price of a Treasury bond can exceed that of an inflation swapped TIPS issue exactly matching the cash flows of the Treasury bond by more than 100 notional amount. The relative mispricing of TIPS and Treasury bonds represents one of the largest examples of arbitrage ever documented and poses a major puzzle to classical asset pricing theory. We find direct evidence that the mispricing narrows as additional capital flows into the markets. This provides strong support for the slow-moving-capital explanation of arbitrage persistence.In the second chapter, I extend the analysis in the first chapter to the G7 government bond markets and document new stylized facts about the dynamics and determinants of arbitrage mispricing in and across financial markets. The new insight for the slow-moving capital theory is that capital available to specific types of arbitrageurs is significantly related to the inflation-linked-nominal bond mispricing (ILB mispricing). Specifically, returns of hedge funds following fixed income strategies strongly predict subsequent changes in ILB mispricing, whereas other hedge fund categories lack statistically significant forecasting power. Furthermore, I analyze the effects of monetary policy on arbitrage mispricing and find that central banks have exacerbated mispricing through large-scale asset purchase programs.The third chapter extends the analysis of inflation-linked securities markets. The magnitude of deflation risk and the economic and financial factors that contribute to deflation risk are not well studied. This chapter, jointly written with Francis A. Longstaff and Hanno Lustig, presents a new market-based approach for measuring deflation risk. This approach allows us to solve directly for the market's assessment of the probability of deflation for horizons of up to 30 years using the prices of inflation swaps and options. We find that the market prices the economic tail risk of deflation very similarly to other types of tail risks such as catastrophic insurance losses. In contrast, inflation tail risk has only a relatively small premium
Taylor and Francis Dimensions Analysis for Impact Assessment Author Survey
No full textDimensions analysis for Taylor & Francis Impact Assessment Author Survey</p
Taylor-and-Francis_Impact-Assessment-of-Earth-and-Environmental-Sciences-Research-Author-Survey_Raw-Data_Figshare
No full textAnonymized responses dataset from the Taylor & Francis Impact Assessment of Earth & Environmental Sciences Research: Author Survey.In Spring 2020, Taylor & Francis surveyed authors from across our Earth & Environmental Sciences portfolio.We investigated what benefits publishing in our journals could impart on both the research and on the authors following publication, and we looked at to what extent global challenges, such as those expressed by the UN Sustainable Development Goals (SDGs), were shaping researcher ambitions.</div
An essay about the Francis Paudras Collection on Bud Powell by Peter Pullman
No full textThis is an essay about the Francis Paudras Collection on Bud Powell written by Peter Pullman, a jazz scholar and author of Wail: The Life of Bud Powell (Brooklyn: Bop Changes, 2012).One image file (pdf)This project was supported by a Recordings at Risk grant from the Council on Library and Information Resources (CLIR). The grant program is made possible by funding from The Andrew W. Mellon Foundation
Taylor & Francis post-publication author survey - submission decision factors - USA vs Global comparison
No full textThe Taylor & Francis post-publication author survey asks about the importance of various factors in authors' decisions to submit their article to a specific journal. This summary table and chart provides a snapshot of responses for the full year 2019, comparing the USA with the global average.</p
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The Valuation of Mortgage-Backed Securities
No full textThis dissertation focuses on a major challenge to asset pricing theory: the valuation of mortgage-backed securities.In the first chapter of this dissertation (with Mikhail Chernov and Francis A. Longstaff), we develop a three-factor no-arbitrage model for valuing mortgage-backed securities in which we solve for the implied prepayment function from the cross-section of market prices. This model closely fits the cross-section of mortgage-backed security prices without needing to specify an econometric prepayment model. We find that implied prepayments are generally higher than actual prepayments, providing direct evidence of significant macroeconomic-driven prepayment risk premiums in mortgage-backed security prices. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and the Federal Reserve’s quantitative easing programs.In the second chapter, I study the relationship between funding liquidity and the valuation of mortgage-backed securities. Most of the financing for mortgage-backed securities occurs through a trade known as a dollar roll, the simultaneous sale and purchase of forward contracts on mortgage-backed securities that is analogous to a repurchase agreement. I develop a four-factor no-arbitrage model for valuing mortgage-backed securities that allows for the valuation of dollar rolls. Unlike previous models of the dollar roll, I allow for the possibility of a prepayment risk premium. I develop a new measure of mortgage specialness that is independent of prepayment risk premia and agency credit spreads. I find that specialness is related to measures of balance sheet constraints and primary dealer positions in mortgage-backed securities
Using Altmetric data to encourage author engagement at Taylor & Francis
No full textJames Hardcastle, Head of Business Development at Wizdom.ai and former Senior Manager in the Research & Analytics department at Taylor & Francis, shares how Taylor & Francis use books data from Altmetric to encourage author engagement
Francis Lee Utley (interview)
No full textThis interview is included in the American Folklore Society Oral History Project held at the Archive of Folk Culture, American Folklife Center, Library of Congress, Washington, D.C. This item consists of oral history interviews with folklorist Francis Lee Utley conducted in 1973 by Patrick B. Mullen and Richard Reuss for the American Folklore Society Oral History Project. This collection consists of 2 sound tape reels : analog, 3 3/4 ips, 2 track, mono. ; 7 in. Originally recorded on July 19, 1973 by Patrick B. Mullen on a 7-inch reel, 3 3/4 ips, 2 track at an unidentified location; and on November 3, 1973 by Patrick B. Mullen and by Richard Reuss at the annual meeting of the American Folklore Society in Nashville, Tennessee on a Sony audiocassette. Sound recordings are first generation copies on two sound tape reels, 7 in. Biography/History note: Francis Lee Utley was born May 25, 1907 in Watertown, Wisconsin, and died March 8, 1974. He was a folklorist, medievalist, linguist, educator, and author who earned his M.A. in 1934 and Ph.D. in 1936 in literature at Harvard University. He taught at Ohio State University and the University of California at Berkeley, and was president of the American Folklore Society from 1951-1952
Liberalism and socialism : address / by Francis Anderson.
No full textCaption title.; At head of title: Section G (I), Social and Statistical Science.; Electronic reproduction. Canberra, A.C.T. : National Library of Australia, 2010.; JAFp SOC 667 copy signed by author
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