1,319 research outputs found
Betting Against Beta
Get PDFWe present a model in which some investors are prohibited from using leverage and other investors’ leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints. We test the model’s predictions within U.S. equities, across 20 global equity markets, for Treasury bonds, corporate bonds, and futures. Consistent with the model, we find in each asset class that a betting-against-beta (BAB) factor which is long a leveraged portfolio of low-beta assets and short a portfolio of high-beta assets produces significant risk-adjusted returns. When funding constraints tighten, betas are compressed towards one, and the return of the BAB factor is low.
Measuring systemic risk
Get PDFWe present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can be measured and priced. An institution’s contribution, denoted systemic expected shortfall (SES), is its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence. Institutions internalize their externality if they are “taxed” based on their SES. Through several examples, we demonstrate empirically the ability of components of SES to predict emerging systemic risk during the nancial crisis of 2007-2009.Systemic risk ; Risk
Anmeldelse af Ulrik Rammeskow Bang-Pedersen & Lasse Højlund Christensen: Den civile retspleje, 2. udg., 2010
No full textArtiklen anmelder den nævnte bog og giover den videnskabelig og pøædagogiski anerkendelse for på en læseværdig måde at redegøre for, hvordan domstolene i Danmark er opbygget, og hvordan en civil retssag behandles. En lang række af kapitlerne hos Ulrik Rammeskow Bang-Pedersen & Lasse Højlund Christensen viser, at vi her står med en ny generation af procesretsbøger. Den Europæiske Menneskeretskonvention (EMRK) og dens store (procesretlige) betydning har en fremtrædende plads, og også dele af EU-retten er fremtrædende placeret
The Market for Borrowing Corporate Bonds
Get PDFThis paper describes the market for borrowing corporate bonds using a comprehensive dataset from a major lender. The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points per year. Factors that increase borrowing costs are loan size, percentage of inventory lent, rating, and borrower identity. Trading strategies based on cost or amount of borrowing do not yield excess returns. Bonds with corresponding CDS contracts are more actively lent than those without. Finally, the 2007 Credit Crunch did not affect average borrowing cost or loan volume, but increased borrowing cost variance.
Mapping of Danish humanities research
No full textHumanomics-projektets bog med kortlægning af dansk humanistisk forskning på baggrund af et spørgeskemabaseret survey og en undersøgelse af ph.d.afhandlinger - med bidrag af Jonas Grønvad, Lasse Johansson, Simo Køppe, Andreas Liljenstrøm, David Budtz Pedersen, Frederik Stjernfelt og Jutta Vikma
CRISPy-web:An online resource to design sgRNAs for CRISPR applications
Get PDFCRISPR/Cas9-based genome editing has been one of the major achievements of molecular biology, allowing the targeted engineering of a wide range of genomes. The system originally evolved in prokaryotes as an adaptive immune system against bacteriophage infections. It now sees widespread application in genome engineering workflows, especially using the Streptococcus pyogenes endonuclease Cas9. To utilize Cas9, so-called single guide RNAs (sgRNAs) need to be designed for each target gene. While there are many tools available to design sgRNAs for the popular model organisms, only few tools that allow designing sgRNAs for non-model organisms exist. Here, we present CRISPy-web (http://crispy.secondarymetabolites.org/), an easy to use web tool based on CRISPy to design sgRNAs for any user-provided microbial genome. CRISPy-web allows researchers to interactively select a region of their genome of interest to scan for possible sgRNAs. After checks for potential off-target matches, the resulting sgRNA sequences are displayed graphically and can be exported to text files. All steps and information are accessible from a web browser without the requirement to install and use command line scripts
Predatory Trading
Get PDFThis paper studies predatory trading: trading that induces and/or exploits other investors' need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting, and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed. Further, a trader prots from triggering another trader's crisis, and the crisis can spill over across traders and across assetsasset pricing
Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets
Get PDFIn this paper, we investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short sale restrictions. We use a new and comprehensive sample of options on individual stocks in combination with a measure of the cost and difficulty of short selling, specifically the spread between the rate a short-seller earns on the proceeds from the sale relative to the standard rate (the rebate rate spread). We find that violations of put-call parity are asymmetric in the direction of short sales constraints, their magnitudes are strongly related to the rebate rate spread, and they are maintained even in the presence of transactions costs both in the options and equity lending market. These violations appear to be related to both the maturity of the option and the level of valuations in the stock market, consistent with a behavioral finance theory that relies on over-optimistic investors in the stock market and segmentation between the stock and options markets. Moreover, the extent of violations of put-call parity and the rebate rate spread for individual stocks are significant predictors of future stock returns. For example, cumulative abnormal returns, net of borrowing costs, over a 2«-year sample period can exceed 65%.
Generalized recovery
Get PDFWe characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. We make no assumptions of the probability distribution, thus generalizing the time-homogeneous stationary model of Ross (2015). Recovery is feasible when the number of maturities with observable prices is higher than the number of states of the economy (or the number of parameters characterizing the pricing kernel). When recovery is feasible, our model is easy to implement, allowing a closed-form linearized solution. We implement our model empirically, testing the predictive power of the recovered expected return and other recovered statistics
Contingent liquidity
Get PDFAfter the crisis, bank regulators are considering mitigating liquidity risk by introducing quantity limits on liquidity and maturity mismatch. We argue that aggregate liquidity risk can be reduced with little deadweight loss by encouraging banks, through adequate regulatory relief, to satisfy part of their financing needs with a new class of securities. These would include a Roll-Over Option Facility (ROOF) that allows the issuer, for a price, to keep the funds if at maturity a readily observable variable correlated with systemic liquidity risk (e.g. the LIBOR-OIS spread) is above a trigger threshold. At roll-over the yield would reflect the current price of liquidity and credit risk, making ROOFs attractive to investors. The instrument could attenuate a liquidity crisis by reducing banks’ need to roll debt over or sell off assets, and diminish the probability of runs, if markets are convinced that banks can secure sufficient liquidity when needed thanks to the widespread use of this contingent claim.funding, liquidity, contingent claim, financial crisis
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